London and English country side
The setting is Stoke Moran. It's a run down manor house with gypsies living in the grounds and wild animals roaming around (a baboon and a cheetah). It's a fairly typical setting for an old fashioned murder mystery.
It was mainly based on Indian animals, although Conan Doyle made an error in which he stated that the baboon was indigenous to India, rather than Africa and Asia, which they are truly indigenous to.
Last time I checked, India was in Asia.