The setting of "The Tyger," or at least the worlds this poem seems to conjure up, are extremely varied. In general, though, it takes place in the abstract, without much more than "Forests of the night," and "distant deeps or skies," to give the reader any sense of location.
However, the lack of a concrete setting is just as important as the presence. Think of watching a play in a theater in which the whole stage is dark except for one spotlight. There is no setting in the sense of it taking place in a house or in a field – it’s abstract. The most important quality, then, is that it has no obvious setting, just like the poem. Blake has placed the spotlight on the Tyger, but where it is, or where the speaker is, are not part of the equation.
Leaving the setting fluid keeps the themes fluid and abstract as well. It also highlights what setting is there, if fairly vague. The "forests of the night" are dark and mysterious, cloaking and hiding the fiery symbol of the Tyger. The "distant deeps or skies" bring to mind the notions of Hell being underground and Heaven being in the sky. Since the Tyger may have been created in either Hell (deeps) "or" Heaven (skies), it remains ambiguous as to whether the Tyger is good or bad. Regardless, it would seem to us that being in the forests of the night with a "fearful," "burning" Tyger on the loose, is scary, whether abstract or not.