(a) London: 

The case starts here with Mary Morstan meeting Holmes at his place in London. They go to meet Thaddeus Sholto in London. They also chase Jonathan Small and Tonga in London. Tonga is killed and Small captured. Small then narrates the entire story.

(b) Lyceum Theatre: 

This is the place near which the writer of the anonymous letter told Mary Morstan to reach if she wished to get justice.

(c) Edinburgh: 

Mary spent her childhood till she was seventeen at a boarding school in Edinburgh.

(d) Agra: 

When Jonathan Small was standing guard one night at the Agra fortress, he was overpowered by two Sikh troopers, who forced him to waylay a servant of a Rajah and steal a valuable fortune in pearls and jewels. This was called the ‘Agra treasure’.

(e) Andaman Islands: 

Jonathan Small was arrested and imprisoned on the Andaman Islands for the robbery of the Agra treasure. After 20 years, Small made a deal with John Sholto and Arthur Morstan, who were the prison guards. Sholto would recover the treasure and in return send a boat to pick up Small and the Sikhs. Sholto double-crossed both Morstan and Small and stole the treasure for himself. Small vowed vengeance and four years later escaped from the Andaman Islands with an islander named Tonga after they both killed a prison guard.