Sets and props were both minimal. Audiences utilized their imaginations much more than they do now. Night may have represented simply by a black curtain in the background with a moon and/or stars painted on it. Juliet's balcony was probably a simple platform set on the side of the stage. Ghosts could come and go through a trapdoor in the stage.
Storms, as in "The Tempest," could be simulated with actors waving long strips of dark-colored cloth and others making storm noises off-stage. The same could be done to give the idea of waves and ships sailing.
Swords and other weapons were the real thing in many plays, such as "Henry IV" and the history plays. Many of the plays written mainly as entertainment for the court had very little in the way of scenery. The costumes were the main source of setting the stage for the audience's imagination.