"The Open Window" is set in the living room of a house belonging to the Sappletons, in a rural part of England. It is October, and the reader follows the characters as the day passes from late afternoon to early evening.
The short story takes place during the Edwardian era (1901-10), which spanned the reign of King Edward VII. In Europe and the world, the first decade of the twentieth century corresponded with mounting territorial tensions and colonial aggression. Domestically, in metropolitan England, this was a period of great wealth as well as societal, political, and technological change. Despite this air of change, English society was organized according to a fixed hierarchy. It is important to consider Saki's critical lens and penchant for satire against this backdrop. The story's setting, a country house belonging to an affluent family of the Edwardian elite, is directly related to its satirical edge. Just like Vera uses the physical aspects of room they are in (i.e. the open window) to fabricate a story that will haunt Mr. Nuttel, Saki actively uses the setting to comment on Edwardian society.
The story almost entirely takes place within the four walls of the room. When Mr. Nuttel runs away, however, the scope of the setting widens somewhat, to follow him through the hall-door, along the gravel-drive, through the front gate, and finally along the road outside the Sappletons' estate. In addition, Vera's stories endow the story with two brief new settings: the moor and banks of the Ganges. The latter is where Mr. Nuttel supposedly develops his severe fear of dogs.
Vera's final insertion of "romance at short notice" underlines that the setting is not simply marked by affluence, but by colonial affluence. England was at the peak of its colonial power at the start of the twentieth century, under Edward's reign. The fiction within the fiction, offered by a teenage girl, is the only moment that reveals the crucial colonial aspect of the short story's Edwardian setting.
He was once hunted into a cemetery somewhere on the banks of the Ganges by a pack of pariah dogs, and had to spend the night in a newly dug grave with the creatures snarling and grinning and foaming just above him.
The incidental mention of India heightens Saki's critique just before "The Open Window" comes to a close. Earlier in the story, Mr. Nuttel thinks to himself that "somehow in this restful country spot tragedies seemed out of place." To someone like Mr. Nuttel, distress is reserved for more urban parts of the country, and especially for more distant parts of the British Empire. People in his social position go to rural areas of England like this in order to get away from the disorder and suffering of the world. Just before letting the reader go, Saki brings home the point that the comfort of landed Englishmen like himself and Mrs. Sappleton is built on colonial violence.
Saki was born in British Burma, as his father was an Inspector General for the Indian Imperial Police. His family left Burma when he was still a baby, but he himself went into the Indian Imperial Police and was posted to Burma for a short period. Although his involvement in the Indian Imperial Police suggests that he bought into the values of the British Empire, Saki's perspectives of Edwardian England were inevitably shaped by the time he spent in the British colony.