The poem never gives us a picture of a specific setting. Instead, we get a whole bunch of pictures of a whole bunch of settings. It's sort of like we're looking at the world through a broken kaleidoscope—all to take us into the mind of someone who's reeling from a serious emotional shock.
The poem takes into its weird distorted world right from the get-go. Take the first stanza for example...
After great pain, a formal feeling comes – The Nerves sit ceremonious, like Tombs – The stiff Heart questions 'was it He, that bore,' And 'Yesterday, or Centuries before'? (1-4)
We see flashes of people sitting numbly after a funeral. We go from eerie graveyards to inside the body itself, where the nerves are numb and the heart is confused about whom even experienced the pain.
It just gets weirder from here. The second stanza shows us images of a person moving robotically through a world where there is no definite substance. Everything is dreamlike and uncertain. Then the final stanza ends with the image of people slowly freezing to death in the snow.
All in all, the poem comes together like a Tim Burton nightmare, and it does a creepily wonderful job of taking us into the distorted world of a person who's trying to sort out some mega-complex emotions.