The movie's called Out of Africa, so we'll give you one guess where most of it is set.
Karen Blixen actually ran a farm in east Africa in real life, and if you're going to tell that story, there's no sense shooting the thing in Burbank. And let's face it: the movies are a great place to turn that wide-angle lens onto the gorgeous landscape and make us all start planning our own safaris in our heads.
Sydney Pollack wasn't about to let that spectacular landscape go to waste. He took the whole crew to Kenya for the shoot, to the point of building the local villages from scratch. (Kenya was looking a lot more modern in 1985.) He used natural lighting whenever he could, and tried to give us a sense of how big it all was.
Biplanes. Flamingos. So much green.
So what does the movie gain by that, besides some of the sexiest landscape shots this side of National Geographic? It's actually a good way of reflecting the indifference of the universe, which is one of the things Karen has to deal with. Africa is tough and merciless. It sends lions to eat her ox and fires to burn down her plantation. It doesn't care if she's suffering, or if the plantation is all she's got, or if she really, really needed that ox to get supplies to the troops.
Placing Karen in a totally unfamiliar, distant setting allows for a whole lot of character development, too. At first she imposes what she knows on the new environment—the Limoges, the crystal, the tablecloths—but eventually she changes. She comes to understand the local customs, and she works in the coffee fields alongside the Africans.
Seeing a genteel, sophisticated Danish lady holding off lions with a shotgun? We doubt anything like that would have happened if she'd stayed in Denmark.
Birds, maybe, but that's a one-sided hunt.
(P.S. The Denmark scenes were filmed in England.)