Like any good Romantic poet, Coleridge was an outdoorsman. We don't mean that he wore a lot of camouflage, was big on fishing, or even that he went camping all that often. More generally, though, the guy was attuned to his natural surroundings, and he set a lot of his poems—including "Dejection: an Ode"—out in nature.
It may seem counterintuitive, at first, to discuss being depressed while sitting outside. After all, most of us tend to go outside to cheer ourselves up. But that's precisely where our speaker starts out:
I see the old Moon in her lap, foretelling
The coming-on of rain and squally blast, (13-14)
He's looking up at the sky on a "tranquil" night (3), hoping for a big storm to come along. Is the guy looking for a free shower? Not quite—instead, the storm is a natural expression of his interior mood. At the same, a little rain and thunder would liven up his numbed spirit, which results from his dejected state:
Might now perhaps their wonted impulse give,
Might startle this dull pain, and make it move and live! (19-20)
In this first stanza's establishment of the setting, then, we see some key elements of Romantic poetry. Element 1: the natural world can influence our emotions. But it's more complex than that. Nature has the power to affect the way we feel, but, more importantly, the way we feel can also influence our own perceptions of nature. That's Element 2:
in our life alone does Nature live; (48)
In other words, our own emotions can color our perceptions of reality. To illustrate that point, the speaker fantasizes about a wind,
Which long has raved unnoticed. What a scream
Of agony by torture lengthened out
That lute sent forth! Thou Wind, that rav'st without,
Bare crag, or mountain-tairn, or blasted tree,
Or pine-grove whither woodman never clomb,
Or lonely house, long held the witches' home,
Methinks were fitter instruments for thee, (97-103)
Notice how the places that this howling wind visits are all spooky and isolated aspects of nature. Here the wind is probably imaginary one, since he complains about it being so tranquil in the first stanza. Unless a cold front has blown in in the middle of this poem, this wind is better understood as an embodiment of the speaker's own troubled mood.
For more on how this natural world figures into this poem, we highly recommend you head over to "Themes" section. As far as the setting goes, though, the poem is essentially giving us sad, lonely, stormy nature as a backdrop to highlight the poor speaker's sad, lonely, stormy state of mind. We hope he was wearing a raincoat at least.