Cymbeline is set in super-ancient, pre-Christian Britain, just like King Lear, and Cymbeline was actually a king who ruled in those way-back days. We see glimpses of the fact that Britain was pre-Christian when the pre-Christian Jupiter shows up (even though Jupiter is a Roman and not native British god). The characters in this play all worship the king of the gods and believe he has the power to change their lives.
The play goes back and forth between Britain and Rome. This is partly because Posthumus has been banished and needs somewhere to go. But in more general terms, this play is about Britain finding its place in a world dominated by the Roman Empire. The shifting of scenes between Britain and Rome heightens the tension between these two powers until they meet in the final scene and come to an agreement.