Xena: Warrior Princess is set primarily in a fantasy version of ancient Greece (sometimes alluding to Roman Greece) and was filmed in New Zealand. Some filming locations are confidential, but many scenes were recorded in places such as the Waitākere Ranges Regional Park, part of the Auckland Regional parks often credited at the end of the episodes.

The Ancient Greece depicted in the show is largely derived from historical locations and customs, modifying known places and events – battles, trading routes, towns, and so on – to generate an attractive fictional world. The settlements are presented as a mixture of walled villages and rural hamlets set in a lush green, mountainous landscape. They are often seen under attack from warlords, and travelling between them involves frequent encounters with small bands of outlaws. All of the main towns are named after historic towns of Ancient Greece, and exhibit some of their essential characteristics – Amphipolis (birthplace of Xena), Potidaea (birthplace of Gabrielle), Athens (birthplace of Joxer), Corinth, Delphi, and Cirra (birthplace of Callisto) which was burnt to the ground by Xena's army.

As the show progressed, however, events took place throughout more modern times and places, from Cleopatra's Alexandria to Julius Caesar's Rome. The mythology of the show transitioned from that of the Olympian Gods to include Judeo-Christian elements. Eastern religions were touched on as well, with little regard to accurate time-and-place concerns. One episode, "The Way", which loosely interpreted elements of Hinduism as major plot points, generated controversy, requiring the producers to add a disclaimer at the head of the episode and a tag explaining the episode's intentions at its end.

Mythological and supernatural locations are presented as equally real, physical places, often accessed through physical portals hidden in the landscape such as lakes and caves. They include the Elysian Fields, Tartarus, the River Styx, Valhalla, Heaven and Hell. The inhabitants of such places – gods, mythological beings and forces – are for the most part manifested as human characters who can move at will between their domains and the real world. Ares, the Greek God of War, for instance, is an egotistical man who wears studded black leather, and Aphrodite, Goddess of Love, is a California Valley girl who uses typical Valley girl slang and dresses in flowing, translucent pink gowns.