McCarthy continually reminds us of the bleakness of the landscape in The Road. You can't go for more than two pages before reading something like this: "Ash fell on the boy. Winter was coming." (We made that up, but you can imagine those sentences in the novel, right?) As readers, we only experience bright colors through the characters' dreams or memories, if someone happens to bruise or bleed, or through fire or flare guns. The rest of the time we see a gray ash covering the landscape.
Our characters remain on U.S. highways and interstates for much of the novel. As signaled by the "See Rock City" sign, the characters are somewhere in the Southeastern United States. They often stop at abandoned houses, but, for reasons of safety, never stay for long. In fact, much in this novel seems abandoned: suitcases, houses, cities, even the whole world. Imagine the post-apocalyptic deserts of the Mad Max (1979) series, shift them to the Southeastern U.S., take away most of the cars, and throw a layer of ash over everything.
The extremity of the novel's destruction even extends to animals. Late in the book, The Man uses the phrase "as the crow flies," and The Boy asks an odd question: "Because crows don't have to follow roads?" (231.4, 231.9). The Boy consistently displays an ignorance of animal life, suggesting that the disaster (which occurred right before he was born) wiped out most living creatures. You probably don't notice birdsongs or crickets chirping every day, but imagine a world where very few living things move across the landscape. McCarthy's silence and stillness is not the good, Zen kind of emptiness; it's something more along the lines of nothingness. That's scary.
It's possible to get more specific with the setting. Two early details suggest that most of the novel takes place in the South. As The Man and The Boy travel south and east toward the coast, they stop at a plantation-style house. The Man imagines the slaves who probably worked there carrying drinks on silver trays (162.1).
Although McCarthy never gives us any specific place names, he does give us a key hint earlier on in the novel:
They trucked along the blacktop. Tall clapboard houses. Machinerolled metal roofs. A log barn in a field with an advertisement in faded ten-foot letters across the roofslope. See Rock City. (33.1)
Rock City is a natural rock formation on top of Lookout Mountain, outside Chattanooga, Tennessee. This doesn't definitively mean that the novel starts or even necessarily takes place in Tennessee, though. We at Shmoop conferred with our friends who grew up in the Southeastern U.S., and plenty of them said that "See Rock City" signs show up along highways as far south as Georgia. They're all over the place. Although we'd like to get more specific, we can only place the novel in the general region of the Southeastern U.S. It is worth noting that Cormac McCarthy grew up in Tennessee and set some of his earlier novels there.
If you'll allow us a tiny bit of speculation, though, we would like to note that The Man and The Boy come to a gap early on in the novel. (The Man believes that if they can just make it across the mountains and to the coast, they'll find themselves in a better climate.) Here's the passage:
At every curve it looked as though the pass lay just ahead and then one evening he stopped and looked all about and he recognized it. [. . .] What is it, Papa? the boy said.[The Man:] It's the gap. This is it. (55.1)
Now there are all sorts of minor passes and gaps through the Appalachian Mountain Range. (We are sure this is the mountain range they pass over – it's the only significant range in the Southeast.) It's possible they take one of these minor gaps. However, The Man keeps looking for the gap as if it's a major landmark, and the simple grandeur of his statement ("It's the gap. This is it." [emphasis added]) leads us to believe they're crossing the Cumberland Gap. This would place the novel – at this point – on the border between Tennessee and Virginia.
Only some of the novel jives with this theory, however. If they do start out around Rock City, then they can't pass through the Cumberland Gap, since the Gap is north of Chattanooga. But if they started out north and west of the Gap, the rest of the novel would still make sense. The novel has them leaving the mountains, wandering down the foothills and through piedmont, then crossing a coastal plain. This sounds to us like a state east and south of the Gap: North Carolina.
That said, if they don't cross the Appalachian Mountains at the Cumberland Gap, they could just as easily be crossing the piedmont and coastal plains of South Carolina or Georgia later in the book. All this is to say that the novel takes place in the Southeastern U.S. for sure and there's a really good chance it starts somewhere in Tennessee.