The setting is absolutely crucial to The Great Gatsby and its meaning. The story's set in the 1920s, also known as "The Jazz Age," a time when America was going through rapid social, cultural, and economic change. Due to mass immigration, the United States was becoming more multicultural, less monolithically white and Protestant. This was also a time of growing wealth and opportunity in which many people from humble backgrounds such as Jay Gatsby were able to work their way up the social ladder and emulate the lavish lifestyles of the old money elite. In The Great Gatsby, West Egg is the place where the new rich congregate, fantastically wealthy but still crucially lacking the aristocratic blood and breeding of the denizens of East Egg, such as the Buchanans.
The abiding theme of The Great Gatsby is the American Dream, and the setting of the story plays an important part in developing this theme. As well as the huge social—if not geographical or financial—gulf that separates East Egg from West Egg, we have the even bigger gap between both old money and new and those who live in the Valley of Ashes. This is where the ordinary folk live, hardworking everyday people who've yet to have their chance at living out the American Dream.
When reading The Great Gatsby, we should always bear in mind that only a tiny minority of Americans were able to lead the kind of opulent, lavish lifestyle enjoyed by the East and West Eggers. Far more Americans were like George and Myrtle Wilson and countless others in the Valley of Ashes—full of hopes and dreams, but held back by lack of wealth and connections. For such people, the American Dream was precisely that—a dream, and not a reality. And their lack of success in life is reflected in the general atmosphere of decay that hangs over the Valley of Ashes like a large black cloud.