All the Pretty Horses is primarily set from 1949–1950 in Mexico and also in various locations throughout the border region of Texas. The longest portion of the story unfolds at the Hacienda de Nuestra Señora de la Purísima Concepción, a large ranch in Mexico.
At the time the novel is set, the hacienda is one of the few remaining bastions of rural wealth in the border country. It stands in stark contrast to John Grady's family ranch, where the story begins. Ranch life has become so unprofitable in Texas that John Grady's mother decides to sell the ranch land. The plenty and relative excess (seen in the hacienda's horse breeding program, for example) makes the difference between the two ranches all the more apparent. Nearly all other settings in the book are also rural, ranging from wilderness to small towns. The climate is hot, dry, and filled with desert animals. Most people who live in these areas work the land or serve those that do, and most community life revolves around farming and ranching.
Though the bulk of the novel takes place in the mid-20th century, many characters tell stories that take place in earlier time periods. Alfonsa, for instance, tells a long story about her youth during the Mexican Revolution (circa 1910) in Part 4.