"Raymond's Run" takes place in New York City, as the narrator, Squeaky, refers to Broadway and Amsterdam, which are two streets that run along the west side of upper Manhattan into the neighborhood of Harlem. The narrator also refers to "PAL shorts." "PAL" refers to the Police Athletic League, a program that involves the New York Police Department in running athletic teams and providing other opportunities for children in the city.

The setting affects the action of the story because the narrator has to keep her brother Raymond, who has an intellectual disability, safe in the city. She mentions that she keeps him on the side of the sidewalk near the buildings so that Raymond doesn't run into the gutter or chase across the traffic to run after pigeons in the divider in the middle of the street. Harlem, as portrayed in the story, is a close-knit but tough neighborhood in which all of the girls know each other and some are very competitive in running. In the end, though, Squeaky and her rival, Gretchen, seem to have decided to end their competition in the interest of working together to teach Raymond how to run.

In Toni Cade Bambara's short story, "Raymond's Run", the setting impacts the story a great deal.  Because Squeaky, Raymond's sister, is a fast runner, and wins the races in the neighborhood and the school, she is proud of herself, determined to be a winner, and competes with the kids in the neighborhood.  In a rather poor neighborhood like hers and Raymond's, athletics is one way to  escape poverty. Being a winner at school also influences the story because competition is a part of the neighborhood. Between Squeaky and Gretchen who also runs fast, being first is important because the winner gets bragging rights. Being at home as the babysitter of her brother impacts Squeaky also as her mother cannot afford an adult sitter. The other students in the neighborhood also impact the story as Squeaky wants to show them that she is the best, resulting in her practicing.  Setting plays a role in the entire story.