The specific setting of the story is never actually stated. The events would appear to have taken place in a European country, but while "Fortunato" and "Luchesi" are Italian names, "Montressor" is most arguably French, and "Amontillado" is a Spanish wine. Also, Montressor's coat of arms is Scottish in origin, and there are various Latin phrases and references scattered throughout the narrative. The exact location of the story is ambiguous, leaving the impression only that it is "another place and time".
The exact timing of the story is never stated either, although critics have most often placed it in the eighteenth or nineteenth century.
In a more general sense, the story is set in a city, again, most likely European, and a long time ago, during a season of carnival or celebration. The majority of the action takes place in the labyrinth-like, dreary catacombs, or series of underground chambers, underneath the palazzo, or estate, of Montressor.