Herod's Palace, Judæa, C. 30 AD.
Salomé takes place in the palace of Herod Antipas, Tetrarch of Judæa. But even though it's a palace, Wilde's description of the set is pretty simple.
The action occurs on a "great terrace" in the palace, which looks over the banqueting hall. To the left is an old cistern (Jokanaan's prison) and to the right a "gigantic staircase" leading down to the hall. There really isn't much to say about this physical space, and that's for the best: there's so much going on off-stage that it'd be a shame to get caught up in it. You have to figure that the moon—which gets its own section in "Symbols," never fear—is placed out of sight, making the character's interpretations of it all the more important.
In order to really understand the setting, though, we have to go back to Herod and his title, "Tetrarch of Judæa." Herod is son of Herod the Great, the dude who told the three wise men to go to search for the Messiah. Herod's title literally means "ruler of four." You see, following his death, Herod the Great's kingdom was split into four pieces, and Herod Antipas was given one of them.
Of course, the whole area was ultimately controlled by the Romans, represented in the play by Tigellinus. So, though Herod may be a king, he still has to report to an Emperor.
As for his subjects, well…this is where things get interesting. You see, Herod's got quite a contentious bunch of citizens. In the play we hear from or hear tell of Jews, Nazarenes, Pharisees, Sadducees, and Samarians. All are nominally Jews—or have some connection to Jewish beliefs—but, as we learn in the play, their beliefs differ a lot.
The world of Salomé is one basically defined by conflict, one that seems to be always on the verge of change. Jokanaan talks of a Messiah and the death of a king. In this strange time and place, where rumor has it that a man (psst: the man is Jesus) is turning water into wine, curing lepers, and raising the dead, nothing seems fixed or certain.