Curse of the Azure Bonds takes place in the Forgotten Realms setting. The adventure begins in the city of Tilverton, a relatively small town that nonetheless contains all the essential shops and services to equip the party. Although the characters begin the game with no equipment, each character does receive money at the start of the game with which to buy weapons and armor. Outside the city of Tilverton, the characters may explore underground caverns, sewers, and outside in the wilds. Other locations include the Elven Forest, Zhentil Keep, the temple at Yulash, and the citadel at Hap, though these locations cannot be freely explored by the party. Instead, the player can use a menu to select places within the locations to visit. Yulash is under siege by marauders, and characters entering the town are also in danger from crumbling walls and sinkholes.