Marlow is from England, and more specifically, London. However, early in the novella, he describes going to Brussels (in Belgium) to get a job in the Belgian Congo. He has been seized with the irresistible urge to work in Africa but has no luck finding such a job in London. He has an aunt, however, living in Brussels who has the connections that secure him the job with the Company.
Marlow's ethnicity aligns with Britain in particular as both a colonized and colonizing land. Marlow describes his aunt as one of many he knows who lives on the Continent because it is cheaper than England:
I have a lot of relations living on the Continent, because it’s cheap and not so nasty as it looks, they say.
Marlow's English heritage also connects him to the ancient English, who were once the "savages" conquered by the Romans, illustrating that the domination of the weak by the strong is a universal trait.
Marlow's Englishness is also representative of the fact that the time period in which Conrad wrote The Heart of Darkness, 1899, was the height of British Empire. Britain in this era was the world's superpower. Its navy ruled the seas, and it had far-flung holdings. Although Belgium owned the part of the Congo to which Marlow was headed, his English ethnicity was, at that time, more representative of imperialism than any other.