The events of the book are set in England and France during the period when King Arthur supposedly existed, roughly in the 5th and 6th centuries. Whereas Arthur himself is based in England, much of Tristram's main story (Books 8-10) takes place in and around King Mark's court in Cornwall, France. The split between England and France is partly because Malory's source material comes from both England and France. For instance, the French poet Chrétien de Troyes wrote some very popular Arthurian Romances in the 12th century. These long poems contributed to popular ideas and stories about King Arthur and his knights that Malory then used in the 15th century. Tristram's story had been taken up by the English writer Geoffrey Chaucer, but Malory nonetheless inherited Tristram as a French knight.
Malory had another reason for writing a narrative that crossed the border between England and France. He was writing in 15th-century England after the Hundred Years' War, a series of military conflicts between England and France that ran on for more than a century. The English House of Plantagenet attempted and eventually failed to take control of the French throne from the French House of Valois. Following its loss in the Hundred Years' War, England itself devolved into a series of civil wars we now know as the Wars of the Roses. During these wars, two branches within the House of Plantagenet fought one another for control of the English throne until they finally resolved the conflict with a marriage. From everything historians believe about Malory, he had little patience for the civil wars. He switched sides often, depending on what was most advantageous for him at the time. By setting Le Morte d'Arthur in England and France, Malory may be making a nostalgic claim about how great England used to be before it turned to infighting. Indeed, there used to be a much less settled border between England and France. Malory shows knights moving freely over this border, but he keeps the main seat of power in England, with Arthur. The civil war at the end of the book parallels the civil wars Mallory is living through in the 15th century. In fact, the book's main tragedy of Arthur's death (the political and social disorder it heralds) is an oblique way for Malory to comment on everything he finds wrong with 15th-century England.