Here are the main locations where the Forza Horizon games have taken place:

[1]

[1] [1] [1] [9] [8][10]
Game Setting
Forza Horizon Colorado, USA
Forza Horizon 2 Southern France and parts of Northern Italy
Forza Horizon 3 Australia
Forza Horizon 4 United Kingdom
Forza Horizon 5 Mexico
Forza Horizon 6 Japan
A simple way to remember it: the series has moved from the U.S. to Europe, then Australia, back to Europe, then Mexico, and now Japan.

Game-by-game

  • FH1: Colorado, USA.
  • FH2: Southern France and Northern Italy.
  • FH3: Australia.
  • FH4: United Kingdom.
  • FH5: Mexico.
  • FH6: Japan.

Note

Some fan discussions describe the earlier games more broadly by region rather than exact map boundaries, but the list above matches the commonly cited settings from recent sources.

TL;DR: Colorado, France/Italy, Australia, the UK, Mexico, and Japan.