appears to take the reader on a trip:

The reader learns that the trip will cover about 100 miles by train.  Initially, the poetic speaker was lonely, probably dreading his time away from home and his comforts.  On the other hand, no fortune teller or magician could have foretold what would happen while he was there.  The speaker can hardly believe what occurred himself.

Never telling what did transpire, the reader is fully aware that this was a grand event in the poetic speaker's life. However,  he does not explain himself. Note that  Lyonnesse is mentioned twice in every stanza.  This promotes the idea of the time he spent on this trip was more than real, possibly heavenly.

To the poetic speaker, his trip to Lyonnesse put a twinkle in his eyes and magic in his heart.

Background: When reading a Thomas Hardy poem, it is always helpful to find out what is happening in his personal life when the poem was written.  Many of Hardy's poems recall some event in his life; often, it specifically refers to his relationships.  This poem "When I Set Out for Lyonnesse" refers to an actual occurrence which changed Hardy's life forever.

The poet narrates the poem using the repetition of the word Lyonnesse several times.  This is called anaphora.  He wrote his poem with three stanzas which represent the before the trip, during the time there, and the journey home.   Oddly, Lyonnesse is a mythical place referred to in the King Arthur legend.  His choice to use this setting refer than an actual place imparts an air of magic and mysticism. This place turns out to be a place of joy and happiness.   Written in 1869, the poem actually refers to a church near Cornwall where Hardy went  to makes recommendations about its repair.  This trip was a life altering journey.   From his biographical information, Hardy was met at the door by the sister of the priest, who was named Emma.  Both Hardy and Emma find the meeting quite interesting.  However, it took about three more years for them to become engaged and later marry.