It is set and filmed in Toronto, Canada, this is why cars sport Ontario license plates, there is multi-coloured money, and a plane ticket that is displayed in the pilot episode clearly identifies Toronto's Pearson International Airport. Alison lives in Scarborough, the eastern district of Toronto, which Sarah refers to as "practically local". In the third episode, the night skyline shown around 13 minutes in is Toronto's, and the stolen motorcycle turns up in Parkdale, a neighborhood in southwestern Toronto. Furthermore, Sarah refers to a 'Bay Street', which is Toronto's financial district.
The police cars, station and mugs just say, "Police Department" and have almost the Toronto Police crest. The detectives use NYPD-style badges that say "Police Detective" (Beth's also says, "N.J."). The uniformed police have LAPD-style badges that say "Metropolitan Police". A close-up of Art's business card shows a phone number with area code 416, which is Toronto's area code.
In the first episode, Sarah arrives at the fictional "Huxley Station", where a loudspeaker announces that trains to New York will be departing from platform B, which would indicate the show is not set in New York.
Cosima Niehaus is in Toronto in the first episodes, but thereafter is seen communicating via Skype from the University of Minnesota, Twin Cities (U of M), a public research university located in Minneapolis and St. Paul, Minnesota, United States.
Mrs. S' driver license shows a Toronto address.