Contrary to its exotic title, The Beast in the Jungle is set in London, England. The story begins at a fancy estate called Weatherend, where John Marcher runs into May Bartram (whom he met 10 years ago in Naples). The Weatherend estate, with its "old wainscots, old tapestry, old gold, old colour" makes the story's initial setting feel quite romantic and sets the scene for a potentially-but-never-quite romantic relationship between May and Marcher.
The following year, May inherits money from her aunt and buys a home in London. She and John begin spending a majority of their time there. This house becomes the locus of the second half of the story. The remainder of the plot unfolds in their shared space, and they become increasingly intertwined without ever having a romantic relationship. Both the Weatherend estate and the London home play a role in grounding the story in reality. However, the settings take second seat to the story's psychological aspects. The narrator often spends more time describing the characters' thoughts and feelings than he does describing the setting. This might make the reader feel a bit disoriented, especially during long-winded passages about Marcher's anxious thoughts. The little information readers do get about the setting makes the story feel more realistic and visualizable.
