The novel is set in Harlem, New York, in 1935. That is simple and straightforward but does not tell the real nature of the setting, except to someone who was there in the 1930s. The first few pages establish the ambiance of the setting very successfully.
The Grimes family are devout church-goers. On "that day" Sunday, the third-person narrator takes on a walk with the Grimes family through their neighborhood in Harlem on their way to church. The narrator takes us with them past "women with harsh voices and tight, bright dresses" who "fought like men" and men "still wearing their Saturday-night clothes, wrinkled and dusty now." John lives in the interior section of Harlem surrounded by the most sordid parts of city life, including a "cursing harlot's house downstairs," from which the cursing could be heard above the "sound of rat's feet, and rat screams."
John's co-existence with this setting is one governed by perceptive sensibilities. This is contrasted by Roy's co-existence with the setting, making John's existence more focused (Roy serves in part as a foil for John's characterization). John's sensibilities produce an embarrassment in him that is given dramatic impact by Roy's amusement, causing John to speculate, through the narrator's voice, that "Roy would be like them when he grew up."
An important part of this broadly locative setting is the Temple of the Fire Baptized, their church: "John had been brought up to believe it was the holiest and best." One day, as the narrator reminisces for him, John witnessed, along with the whole congregation, Elisha and Ella Mae being publicly reprimanded for spiritually "walking disorderly." We are told that John co-existed with this part of the setting by growing dizzy: "John felt himself grow dizzy in his seat and could not look." John is thus demonstrated to exist within the setting, his environment, on very uneasy, very uncomfortable terms.