Holy Day is set on 'the white frontier', during the mid-nineteenth century. The lack of specificity for this setting is deliberate- playwright Andrew Bovell intended the story to function as "an allegory so that it speaks to our history as a poetic idea rather than a specific event within our history.To locate it in time and place would require a fidelity to historical fact." (correspondence between Stephen Carleton and Andrew Bovell.)

Coordinates have been given for north of the Flinders Ranges, as Bovell has stated that this suits the type of place Holy Day represents: semi-arid interior regions far removed from significant bodies of water. [It is made clear that the setting is far removed from ocean through the character Obedience's repeated questioning about the colour of the sea]. These coordinates are not specific and merely suggestive, as Bovell states that "to specify it as having taken place anywhere is problematic".

The action of the play moves between a few separate locations: the mission station, the halfway house The Traveller's Rest, Thomas Wakefield's farm, and the waterhole. However, only one broader location has been placed on the map, as the specifics of these individual locations are less important to the play than the broader landscape - the empty and unforgiving frontier of white settlement.