Four Horses for Tishtry takes place in the eastern part of the Roman Empire during the reign of Nero. The story follows Tishtry and her trained horses as they travel from her home in faraway Cappadocia (eastern Turkey) into richer and more sophisticated provinces. She goes first to Apollonia, (presumably Sozopol in modern Bulgaria; there were several cities named for Apollo in this era), sails past Byzantium and down the Turkish coast to compete in Troas (the site of ancient Troy). Her second voyage takes her up the eastern shore of the Adriatic to Salonae (modern Solin, near Split), where major games were held.

Most of the novel's events occur in Photo of Chelsea Quinn Yarbro by S. Robb the great amphitheaters, their nearby stables and training grounds, and the simple quarters of the slaves who perform there. But there are also glimpses of other parts of city...