The setting of this poem is outdoors, in a place with a sidewalk, a wall, and grass, along with a worm and a beetle, so it might be a park or someone's yard. It's probably early in the day, because there's dew on the grass for the bird to drink.

Because the wild bird is the focal point of the story, and because there's also a human speaker who tries to give a crumb of food to the bird, we know the setting is in a populated area. The fact that the speaker of the poem happened to have some food on hand is pretty good evidence for a setting appropriate to a picnic.

The bird's timid, cautious behaviors lend further evidence for the idea that he belongs to a breed that's accustomed to being around the noise and motion of humans. But the place is clearly one to which the bird has adapted particularly well, because he finds food and water for himself very easily:

"He bit an Angleworm in halves
And ate the fellow, raw,
And then he drank a Dew
From a convenient Grass—"

Considering the setting of a poem is definitely a good idea, since it helps you visualize the poem's images and actions. Figuring out the setting can usually be done by identifying any objects or other clues that pop up in the text. Here, I was able to determine the setting by noticing concrete words like "bird," "Walk," "Angleworm," "Dew," "Grass," "Wall," and "Beetle" within the first few stanzas.