Where It All Goes Down
Malfi, Various Other Italian Places, The World
The main setting of the play is "at court." In The Duchess of Malfi, the court is presented as a hotbed of corruption and injustice because it's the place where the lord-subject relationship (and all of the really nasty stuff that goes along with it) gets played out.
In a larger sense, the play doesn't take place in one geographic location. The court, for example, isn't a place, so much as a social sphere. And you'll notice there's a lot of shifting about from Malfi to Ancona to Rome, etc.
But even though it feels like you're moving around a fair bit you have to realize that you're almost always in a place where Ferdinand or the Cardinal have dug in their political claws. Even at Ancona, where the Duchess thinks she and her family can be safe, she finds that they've been banished by the Cardinal on behalf of the Church. Ultimately, even though the Duchess and her family spend a good portion of the play on the run, it feels like you never really leave the court.
Captain Obvious, Reporting for Duty
Beyond this, when reading Duchess an important thing to note about the setting is something so obvious that you probably didn't even think about it: where is all of this action happening, beyond the details of prisons and Naples and Malfi and the court? It's happening on earth, in the world.
As obvious as that sounds, it's worth thinking about because, as you go through the play, the characters become increasingly aware of the way in which they are trapped by the world—and all the unfortunate realities that go with. Antonio and the Duchess, for instance, both long for death as a way to escape from the world and find peace beyond it.
The intensity of the world's entrapment is emphasized in particular by Bosola, who hones in on it while discussing the Duchess's own body, asking her "Didst thou ever see a lark / in a cage? Such is the soul in the body" (4.2.122-23). Eventually, the Duchess's own flesh becomes the location and occasion of her imprisonment.
Cultural and Historical Setting: The Times, They Are A Changin'
In addition to the where of The Duchess of Malfi, you also have to consider the equally (if not more) important question of when. This play is being written and performed at a time when old-school views on class, religion, and politics are going topsy-turvy, and within the people of Europe these changes are producing what you could call a very subtle, very drawn out panic attack.
With the birth of capitalism, English society was moving away from the old social model where the prince was the source of all secure identity and your lot in life was determined by where you landed socially in his eyes.
The world was transitioning into an age where status can be achieved (instead of just being ascribed to you at birth), by merit, favor, or—yes—bribery. People's "roles" or "stations" are turning into their "jobs," and their labor has value in and of itself.
Paralleling this shift, there's growing anxiety about the mixing of the social classes, about people exactly like Antonio or Bosola moving up in the social ranks and hobnobbing it with the high falutin' folks. Throughout the play, the Duchess is warned about marrying beneath her, but Antonio, too, is warned repeatedly against expressing "ambition" and reaching above his social station.
Machiavelli, Is That You?
Along with all this change, you're dealing with the cultural legacy of Machiavelli.
Here's a little background. As you may know, Machiavelli was an Italian who wrote the political treatise The Prince about a century before The Duchess of Malfi. His basic game plan for the achievement of power? Play dirty. And when we say dirty, we mean dirty. Above and beyond the lying and cheating you'd expect from a less-than-scrupulous politician, Machiavelli is a big fan of brutally oppressing your people and shamelessly (but sneakily and secretly) abusing the religious, political and personal loyalties of both your opponents and your subjects to keep them under your thumb.
This is a major departure from the old-school view that political leadership should be benevolently governed by the principles of Christian morality, and you won't be surprised to hear that The Prince scared the metaphorical pants off of a lot of Renaissance Europeans.
In Webster's time, you see the rise of the stock character "The Machiavellian Villain," the guy you can depend upon to ruthlessly plot, cheat and manipulate his way to victory. You get a version of him in The Duchess of Malfi in the form of the totally immoral Cardinal, the smooth, planning, and plotting half of the Evil Brothers Duo. In case you were wondering, we're disqualifying Bosola as a true Machiavellian villain because he (a) does have a sense of morality and (b) doesn't actually achieve power through his trickery—he's the puppet, not the puppet-master.
Beyond the specific Machiavellian character, though, The Duchess of Malfi definitely fixates on corrupt government, and it's important to know that it's not doing so in a vacuum. If you read other plays from the same period (especially everybody's favorite revenge tragedies) you'll see this anxiety over the corruption of power played out in myriad bloody, gut-wrenching, and sometimes just plain hilarious ways. For some more on The Duchess of Malfi's personal spin on the corruption of power, head on over to the "Power Theme."