The setting of "King of the Bingo Game" is an entertainment venue in the north, far from the protagonist's home in Rocky Mont, North Carolina. He feels that it is a place where he is an alien. In the South, where African Americans looked out for one another, he knows he could expect to be offered a drink and some roasted peanuts like the people in the theater are enjoying. Here, however, he knows the culture is different and more competitive than cooperative. The fact that the story begins in the dark while a movie is playing is important because in the dark, people can be whomever they want to be. And while watching a movie, one suspends one's disbelief to enter a fantasy world where one's problems and struggles disappear.

When the lights come up and the entertainment changes to a bingo game, the trope of gambling becomes an important part of the setting. The protagonist, like all those who gamble, surrenders to the fantasy of taking home a fortune that will change his life. Winning in a game of chance feels like a miracle, and for an African American man who has come north, likely in the Great Migration, to earn money to take care of himself and his ailing wife, winning a jackpot would be life-altering. He does not want the moment of his possible salvation to end; he wants to dwell forever in the moment of possibility with his fate symbolically in his own hands.