Yes, the overall setting for Mockingjay is Panem, a post-apocalyptic North America. In the novel, much of the action revolves around the Capitol, District 2, 8, 12, and 13.
As the novel begins, Katniss, Prim, and their friends are refugees adjusting to life in District 13. Although Katniss is grateful for District 13's hospitality, she is resentful that it had a part to play in District 12's destruction. The early chapters of the novel have Katniss visiting District 12 to survey the ashes of her home base and then returning to her new life in District 13. District 13 is built almost entirely underground, and life is extremely regimented there. Katniss finds herself fascinated with what she considers the only thing of beauty in District 13: a glass-enclosed environment that replicates a meadow, filled "with real trees and flowering plants, and alive with hummingbirds."
Meanwhile, as the Mockingjay, she continues to plot the logistics of future rebel actions from District 13. Katniss and her friends plan to overpower all of the thirteen districts in Panem, ending with District 2 (the Capitol's supply base). District 2 manufactures weapons of war for the Capitol and supplies it with trained Peacekeepers. Once the districts are overthrown, the rebel forces plan to take over the Capitol.
As a setting, District 2 is unique in that it is known for its impenetrable mountain fortress (the Nut), which houses the Capitol's military resources. One gets the idea that not much differs ideologically between District 2 and 13. Both are committed to the Capitol and supportive of its tyrannical causes. District 2 may represent the heart of the Capitol's military power, but District 13 is ruthless in its persecution of those who fail to live up to its expectations. In the story, Katniss discovers her previous prep team trapped on Level 39 in District 13, brutalized and shackled to the wall. District 2 is also the setting for a major rebel battle against Capitol forces.
In the book, Katniss visits District 8, where Capitol forces have just bombed a hospital full of men, women, and children. There are no survivors. Katniss stands amid the ruins while she films a rebel propaganda video, begging the people of District 8 and the rebel forces to reconsider any ceasefire with the Capitol.
Meanwhile, District 13 is the setting for the Capitol's bombing raids. It is Peeta who warns the rebels that the Capitol is planning a bombing campaign on the district. The goal is to drive the rebels underground so that Katniss is less visible as the Mockingjay, the leader and face of the rebel movement. Throughout the rest of the book, the setting alternates between District 13, the Capitol, and District 12, where Katniss ultimately returns after killing Alma Coin, the president of District 13.