The Taming of the Shrew was published in 1623 but most likely written between 1590 and 1594. The play itself is set in Renaissance Italy, though the precise time period is left unspecified. Throughout the play, Shakespeare litters in several allusions to classical antiquity—which is fitting, given that the Italian Renaissance ushered in widespread fascination with Greco-Roman culture, as well as an increase in artistic and academic pursuits. Shakespeare's references to art and literature throughout The Taming of the Shrew pay homage to its Renaissance setting.
It is important to note that The Taming of the Shrew contains two narratives: a framing narrative and the primary narrative, both with different settings. While the second, primary narrative is set in Renaissance Italy, Christopher Sly's framing narrative appears to be set somewhere in England (the time period is not specified). One can place this setting by a comment Sly makes at the beginning of the Induction, in Scene 1:
SLY: You're a baggage! The Slys are no rogues. Look
In the chronicles. We came in with Richard Conqueror.
Sly asserts that his ancestors "came in" to England with William the Conqueror, whom he mistakenly calls "Richard Conqueror." Assuming that Sly resides in the same country as his ancestors, this places the characters of the first narrative in England, or at least somewhere within the British Isles.