The setting of a story can refer to both its time and place. The Devil's Arithmetic is an interesting story in that these aspects of it change dramatically over the course of the story. The first two chapters of the book take place in the present day (or, rather, the 1980s, when the book was written) in New York. Hannah and her immediate family live in New Rochelle and travel to the Bronx for a Passover Seder with Hannah's grandparents at their home.
In the subsequent chapters, Hannah is mysteriously transported to an entirely new setting, somewhere in Poland near the German border in 1942 during World War II. She starts off in a shtetl, a Jewish village. Pretty soon, Nazi soldiers arrive and deport the entire village to a concentration in Germany. It is during her several months in the camp that Hannah experiences first hand the depravities and horrors of the Holocaust. She and other women are forced to dig trenches and perform other tasks. Hannah watches as nearly everyone she knows is killed.
Toward the end of the story, Hannah courageously changes places with Rivka as she is being led to the gas chamber. At this point, Hannah and the reader are whisked back to the present (1980s), to Hannah's grandparents' Seder in New York.