The events of "De Natura Unicorni" take place in a medieval society in which magical creatures may actually exist. Duke William is the center of the story's society, and the tale begins in his castle, which seems large, warm, and comfortable. Beyond the castle's land is a forest in which a unicorn has been reportedly seen. The forest is at first a great oaken bower, with horsemen riding under great overarching branches.

As paths fade and brambles become abundant, the character of the forest changes into one of foreboding and frustration, as if its density would prevent the hunters from tracking their quarry. Significant to the story's themes, even as everyone else begins to be melancholy about the Hunt, Duke Williams' son James remains high spirited and confident.