Where It All Goes Down
The main setting of this poem is the "hazel wood" in which our speaker goes fishing. This setting presents nature as a major theme in the poem. We get a sense of the beauty and the magic of this natural setting: the moths flying about, the "moth-like" stars, the stream that the speaker catches the trout in. The hazel wood is important, of course, because this is the location where the speaker meets the "glimmering girl." His life is transformed in this wood. The wood, therefore, is a setting that's full of magic; it's where magical transformations happen. What's more, the poem presents nature as the source of that magic.
But the poem's setting isn't just limited to the hazel wood. In the last stanza, the speaker tells us that he's wandered through "hollow lands and hilly lands" (18) looking for the girl, which suggests that he's been all over the place. He also imagines walking with the girl through "dappled grass" (21). So, even though we leave the hazel wood in the last stanza, the poem doesn't leave nature. Given that this is a poem that's full of magic, and is inspired by a Celtic myth, we get the sense that the world that this poem takes place in isn't just "natural," it's supernatural. It has a magical, other-worldly quality to it. Remember: this is a world in which the sun and moon bear golden and silver apples, so yeah—this is not the same natural world you're used to.