The novels are set in the European kingdom of Ruritania in the second half of the nineteenth century. Ruritania is located somewhere east of Dresden. The Prisoner of Zenda explains that the Rassendyll family, though Engish nobility, are descended from a former king of Ruritania.
A number of sequels have been written by other authors. Sherlock Holmes and the Hentzau Affair by David Stuart Davies is an alternative sequel to the first novel. After Zenda by John Spurling assumes that both Hope novels took place as early as the 1870s, and reveals that Rassendyll faked his death and secretly married Queen Flavia of Ruritania, and that their great-grandson now rules as Karl I following the fall of Communism.
In Tarzan Alive, Philip José Farmer describes Rassendyll as the 'cousin' of Lord Staveley, Tarzan's father. This presumably makes Rudolf a Wold Newton Family member on his mother's side. Doc Savage: His Apocalyptic Life describes other members of the Rassendyll family past and present.