The Duchess of Malfi is set in Italy for several reasons. First, Webster based it on real events in Italian history. He would have been familiar with William Painter's compilation of French and Italian stories called The Palace of Pleasure, published in 1567. This volume includes the history of the late-fifteenth-century Duchess of Amalfi, who was married at twelve, widowed at nineteen, secretly married a man a lower status man named Antonio, and believed to have been murdered by her brothers. On one level, therefore, Webster is simply setting the story where it actually took place.

On another level, Italy was an exotic locale seen as a fitting backdrop to revenge dramas. It was often perceived as a more glitteringly corrupt place than England, making it suitable for the kind of bloody tragedies that were popular at the time. Moreover, freedom of speech was not a right in Elizabethan or Jacobean (James I's) England. Both monarchs practiced official censorship and were likely to shut down productions that they perceived to critique their regimes. James I, in particular, was a proponent of censorship.

Therefore, it was safer (though this strategy didn't always work) to set plays in foreign locals or in Greek or Roman times. This way, it could look as if the play were critiquing another culture's corruption, not England's. As The Duchess of Malfi portrays the upper-class patriarchy's abuse of power, an Italian setting was a safer bet than a British one.