New England, 1956 until the 1990s
She's Come Undone takes place in a variety of locales across New England. It's mostly set in Rhode Island, where Grandma's house is, but also in Connecticut and along Cape Cod where whales have a tendency to fling themselves onto the beaches. There's a college and a mental hospital (it's hard to tell the two apart sometimes), but neither are any more or less significant than your average college or mental hospital in any other book.
The most significant setting in the novel is Grandma's house. When Dolores is sent there, when Ma is in a mental hospital of her own, Dolores stays in her mother's old bedroom. She learns a bit about her mother by staying in that room—what she looked like as a girl, who she had crushes on—that she would never learn from her mother in person. Ma isn't telling her, and Dolores isn't asking, but the room can't help but communicate a bit.
When Ma dies, Grandma re-does the whole house to try to erase the memories of her dead daughter. She just can't deal with the daily reminder. And right before Grandma dies, she sells all the furniture herself, mostly so she can leave the money to Dolores. Dolores moves into her Grandma's house, a place she hated living as a child, and she learns to appreciate the memories it holds. Living in that house, Dolores learns how to make a life, make a present and a future, out of her past.