Setting is a little tricky because the entire poem takes place in the speaker's mind. With that said, he does reflect on several vague places. Kunitz presents us with a speaker who's been traveling far and wide, so it makes sense that he wouldn't be stuck in one locale. There's also no exact time period indicated by the setting, since this speaker is supposed to be sort of "timeless" in his existence. The poem starts off with the speaker metaphorically walking through "many lives." This internal setting sets the stage for a poem revolving around consciousness.
A couple outdoorsy environments follow, with "milestones dwindling toward the horizon" and fires "trailing from the abandoned camp-sites." These give us a feeling of distance in terms of space as well as the speaker being very disconnected from other people, places, and things. Honestly, we don't know if these are real or made-up places, but for the sake of this poem, that's not crucial info.
Midway through the poem, we step into conceptual territory, but physical details reemerge as the speaker roams "through wreckage" on a moonless night. Overall, setting functions as a vehicle for metaphor. Imagery is used to enact how the speaker feels about his past and present life instead of describing any particular landscape.