Two aspects of the short story's setting symbolize Poe's larger concerns in this tale of vengeance--the fact that the action is set with the background of Carnival and that the two men pursue the cask of Amontillado by following a path in the Montresor family catacombs.
Near the beginning of the story, Montresor, the narrator, tells us that he encounters his victim, Fortunato,
It was about dusk, one evening during the supreme madness of the carnival season, that I encountered my friend.
The Carnival celebration occurs just before the beginning of Lent in the Christian calendar and is defined by its participants' wild behavior, accompanied by a great deal of over-indulging in food and drink, especially alcohol. The Carnival celebration, in effect, mirrors the disorder in Montresor as he contemplates his very diabolical method of killing Fortunato for reasons the reader never fully understands. Just as there is madness abroad in the larger society during Carnival, there is madness within Montresor, who is consumed by his desire to exact revenge on Fortunato.
More important, perhaps, is the setting of the catacombs underneath Montresor's palazzo. Among other things, the catacombs symbolize mortality and the darkness that awaits all men at the end of life. As the two men descend into the lower levels of the catacombs--at the end of which is Fortunato's tomb--they are, literally and figuratively, on the symbolic path to Hell: Montresor has abandoned all Christian principles in order to seek vengeance, and Fortunato is about to enter a physical hell from which he will not return.
In sum, then, the setting of Carnival represents the madness within Montresor, and the catacombs serve as an emblem of a journey--both literal and symbolic--into darkness and death.