The title, "As I Walked Out One Evening," let's us know right away that the setting for this one is, well, out. And it is, of course, evening. In the first stanza, Auden even gives us a specific street name. We get the sense of a very urban setting with the mention of crowds, pavement, and railways.
What's most interesting about the setting of this poem is how, with the lover's song (it references mountains, rivers, salmon, stars, geese and the ocean among other natural things) and the clock's pleading (he mentions green valleys, snow, glaciers, and deserts) all the natural imagery gives us a rural, nature-y feeling in addition to the urban feeling we get from those crowded streets.
With the addition of oceans, geese, glaciers, deserts and the like, it's as if everything has come together and the line between urban and rural, between man and nature, is blurred. Remind you of anything? You guessed it. The setting is a really strong reflection of some of the poem's major ideas and themes—specifically the idea that Time knows no boundaries and affects all realms equally.