There are (at least) two layers of setting involved in "To His Coy Mistress" – the setting we imagine, and the setting that the speaker imagines.
In terms of where the poem is set – where he writes or tells it to the mistress, we can let our imaginations go. The speaker might write the poem in a lonely, depressed state in the poorly lit bar of a rundown hotel. Or, maybe he’s like John Malkovich in Dangerous Liaisons – in a room, using the back of a woman with whom he’s just slept with as a desk on which to write the letter. Or, maybe the speaker and the mistress tour some exotic city together, and the sights inspire him to make up the poem as he goes along. Which brings us to that second layer we mentioned.
The literal setting of "To His Coy Mistress" is one area where we can let our imaginations rest a little. The speaker doesn’t leave everything to our imagination, after all. He does much of the hardest work himself. He takes us, and the mistress (whether or not she is with him when she receives the poem), on a very specific tour. Grab your copy of the poem and check it out. The setting plays a major role in moving the poem along. If you consider our theme "Freedom and Confinement," you can see the poem move from confinement, to freedom, to confinement, to freedom.
In the first stanza, the speaker starts with "crime." He then moves to the Ganges River in India and the Humber Estuary in England. From there, he moves to the body of the mistress, or, at least, "each part." Finally, he goes inside her body, to her heart.
In the second stanza the setting gets creepy quickly. "Deserts of vast eternity," has a beautiful ring to it – and even a feeling of freedom, albeit a lonely freedom. The speaker snatches that image away though, and leads us into a "marble vault" (otherwise known as "the grave").
The third stanza is like a setting resurrection. The poem bursts from "the grave" into "the morning dew," and, then, beyond the mistress’s body, into her "soul." The speaker then imagines their union, and the setting moves up into the sky with the "amorous birds of prey."
In the final couplet, the setting seems dangerous. We feel like the speaker stands very near to the sun, and that he might get burned.