This is a very hard question to answer with any precision. The best answer would be to say that they lived all over what is now the United States.
Westward expansion began very early in colonial times. Europeans landed on the shores of North America and soon started moving inland. This process of westward expansion lasted until the late 1800s. As it continued, Native Americans were continually pushed out from places where they lived and forced into smaller and smaller areas.
When the Europeans arrived, there were Indians in practically every part of what is now the continental US. The Europeans gradually pushed them out of their ancestral homelands. The most famous incident of this sort happened when Native Americans from the Southeast were forced to leave their homes and travel to what is now Oklahoma, which was supposed to be Indian Territory in perpetuity. As westward expansion moved along, the areas that were reserved for Native Americans in the west shrank.