Icicles, frozen milk, chilled blood—the action is definitely taking place somewhere where it's winter. But not just anywhere—just based on what the people in the poem are doing, it sure sounds like the speaker has a rural community in mind. For example, one of the characters is a shepherd, while clearly the citizens of this imaginary community still fetch their own milk. There's probably a small church or chapel nearby (where else would the parson's "saw" be interrupted?), but nothing like one of the huge churches you'd find in London.
So, what about that setting of the play in which this poem appears (Love's Labour's Lost)? Great question, gang. The play itself takes place in a region of northern Spain called Navarre. The weather is clearly warm because most of the action takes place outside the king's castle. In a nice play of contrasts, "Winter" is performed amid the background of this vernal Spanish landscape. Want more? Check out what Shmoop has to say about that play's setting.
Bear with us just a bit longer, though, because we're not quite finished yet. Since we love making everything as complicated as we can, there's still another setting we want to tell you about. We've told you about winter, and about Navarre, but we also need to consider the setting of the play-within-a-play, to which, as you'll recall, "Winter" is the conclusion. Now, this mini play is basically a pageant, where a whole bunch of historical and mythological figures (Hercules, Alexander the Great, etc.) come on stage, make speeches, do their thing, and leave.
These speech-makers, who collectively go by the name of the Nine Worthies, all lived during different historical eras (and some weren't even real). Clearly this setting is some fantastical, or mythical space where all these different heroes and historical figures could conceivably, you know, make speeches and hang out together.
The settings of the play-within-the-play, and of Love's Labour's Lost, and of "Winter," and of—oh wait, that's all of them. These three settings are less important than the fact that one can't talk about the setting of "Winter" without talking about two other settings. As with Love's Labour's Lost as whole, there are no easy answers, or rather, there are always many answers, many meanings, many interpretations. (Head over to our intro page for more on why that's the case.) In short, this play's tons of fun to, well, play with.