"Julie's Unicorn" has five principal settings. The first is a restaurant, where Farrell, the chef, spots Julie dining with another man. The restaurant scene serves three purposes. The first is to introduce the characters, the second is to show that they have a long history with one another, and the third, not as important, is to show that Farrell is admired by the cooks who work for him, nearly idolized in one case. Showing their long history through some bickering between Julie and Farrell, Beagle establishes the core relationship between the two during the restaurant scene, which helps his audience understand how well Farrell accepts Julie's magical powers and how easily Julie takes Farrell's advice during the main part of the novelette.

The second scene, to be revisited at the novelette's end, is the Bigby Museum: "It would have been a beautiful building, Julie thought, in another town...