"The Demon Lover" took place in London, England during the early 1940s. Mrs. Drover arrived in her London neighborhood to find it greatly damaged by the German bombings. She noticed that the "broken chimneys and parapets stood out." Her own street had an "unfamiliar queerness" about it. This was the first setting.
The second setting was Mrs. Drover's house, which she once shared with her family. They had all relocated to the country to escape the nightly bombings during the Blitz. She had returned home to retrieve some items, which she intended to bring back to the country. She observed how much had changed in her house as she looked at "the staircase window [which had] been boarded up, [with] no light [coming] down into the hall." She noticed cracks in the walls, which were the result of bombs being dropped nearby. She also found comfort in the familiar things she remembered about her house, such as
"the yellow smoke stain up the white marble mantelpiece, the ring left by a vase on the top of the escritoire; the bruise in the wallpaper where, on the door being thrown open widely, the china handle had always hit the wall."
The last setting in the story was the taxi cab. The cab appeared to be "alertly waiting for her" outside. She got inside the car and soon was face to face with the driver. Whatever she saw terrified her and she screamed and struggled as the cab sped away.
The story did not take place after World War II, but during it. The Germans bombed London heavily from 1940-1941. More bombings resumed in 1944.