From the information that the poem gives us, we can establish that the setting of this poem occurs in a house in the middle of a forest that is very isolated. The traveller who arrives at this house reaches there at night, and even though he seems to think that there might be people there, the way in which this house is described suggests that it has been a long time since anybody lived there. Consider the following quote that helps us build up the image of the house:
Knocking on the moonlit door;
And his horse in the silence champed the grasses
Of the forest’s ferny floor:
And a bird flew up out of the turret,
Above the Traveller’s head...Even though there are all the signs that this house is empty and not lived in, with the bird exiting the turret and silence that surrounds him, the traveller still persists in knocking on the door and searching for another human. There is a deeply mysterious and somewhat frightening tone to the setting. The extreme isolation of the house combined with the darkness and the moonlight serve to give it a supernatural feel of a horror movie that prepares us for the unsuccessful quest of the traveller as he metaphorically searches for any kind of meaning in a purposeless universe.