Pygmalion begins on a rainy night in Covent Garden in the West End of London, near St. Paul's Church. This neighborhood verges on the edge of the East End of London, where many members of the working class lived, though many also lived in West End neighborhoods. Covent Garden boasted theaters and a lively marketplace, making it a mixing point for various classes in London, as we see when Eliza Doolittle encounters Henry Higgins there.
Henry Higgins lives in a fine townhouse at 27A Wimpole Street, in central London, an expensive, fashionable address and a bold step for a poor, unwashed woman like Eliza Doolittle to visit. Much of the action takes place here, in physically comfortable surroundings, as Eliza puts up with Higgins's orders and insults in order to learn to speak upper-class English.
Another setting is Chelsea, a fashionable neighborhood in the West End of London, where the wealthy tended to congregate. Mrs. Higgins, Henry's mother, has an apartment there overlooking the River Thames, a desirable location.
In the play, Shaw accurately depicts how class barriers in England were reinforced by neighborhoods, with rich and poor tending to stay in their own places, except for in areas like Covent Garden—and except for the daring Doolittles. Eliza's upbringing in the poor West End neighborhood of Lisson Grove is a sharp contrast to Higgins's luxurious home.