Yalta, the seaside town on the Black Sea in Russia, is the setting in which the story opens. The main characters are guests at a resort and it is most likely summer since people dine outside in the gardens and walk around outside often.
Within Yalta are the harbor where the characters watch the ship come in, the gardens where they first meet and Anna Sergeyevna's hotel room.
The setting shifts to the nearby seaside town of Oreanda where the two main characters go after their first night together. Here, as they watch the morning mist, we get a slight sense of foreboding. For the first time, they have done something they should not have done, and they chose this cliff-side town to reflect on their lives.
The third setting is Moscow, where Dmitri Dmitritch Gurov lives with his wife and children. It is cold, busy and gray. This is a reflection of Dmitri's mind while he is there without Anna.
Later, when Anna comes to visit in Moscow, we have the setting of her hotel room at the Slaviansky Bazaar hotel. While her presence should make the mood lighter, in fact it stays feeling suppressive and gray because they are both still unhappy with the necessity to sneak around and the the unanswerable question of how they can change their lots.
The town in which Anna lives is the last setting. It is referred in the work only as S --. We know, however, that it is a provincial town in Russia given the remarks of Dmitri when he goes there to find her. It feels even more gray and smothering than Moscow and represents total despair in both characters' lives.
There are two settings here: Anna's house and the theater. Her house has a long gray fence around it with nails on top to complete the picture of bleakness.
The theater is filled with smoke and lowly, classless people who create a smothering and overcrowded atmosphere.
Time is an element of setting; in this case, the time is late 19th century Russia.