As an essay, "Experience" does not have a literary setting in the same way a novel or short story does. However, Emerson's life in Concord, Massachusetts, plays an important role in the thinking he does in the essay. At the time Emerson lived in Concord, there was a growing literary scene to which he was integral. He spent most of his life in and around Boston, among Harvard intellectuals.
Emerson himself was Harvard-educated and even spoke at Harvard later in his career; later, after a period of travel, Emerson settled with his wife in Concord. Northwest of Boston, this town was removed enough from Boston that it had an image as a quiet, sleepy place despite the fact that it was very much moving with the times. Subsistence farming and small-scale manufacturing were giving way to industrialization throughout the 19th century, and Concord was no exception. Still, many writers sought a quiet, rural life there. The most famous example is Henry David Thoreau, another transcendentalist like Emerson. Thoreau wrote a book about escaping society to live remotely at Walden Pond. His critics have noted the irony that this pond is actually not all that remote: it is located in Concord on land that Emerson owned.
Thoreau's defenders often note that Walden Pond appealed to him not as an escape, but as a place to think. Like Thoreau, Emerson appreciated the way this quasi-rural place could help him notice nature and the sensations of being alive without being too far from an intellectual community. One of his key ideas is that "everything good" lies in the narrow space between abstract thinking and pure sensation. He insists that thinking can bring about happiness, but also that slowing down and relishing little moments and sensations allows him to be far more satisfied than his friends who "expect everything" of the world. This idea of temperance and mind-body integration seems to be at least partly informed by the hodgepodge of culture in Concord.