I'm not going to go into the actual lore, here, just the literal setting. I can only guess what Rare has planned for the broader world, but right now I'm operating under the delusion that the whole thing is set within an area similar to the very real Red Sea. Beyond the borders of the map are regions colloquially referred to as "The Mainlands." Each region is identified and incidentally referred to by the word "Far" placed in front of one of the four cardinal directions. With the exception of the Far North, which would be portrayed as area not unlike the one that exists in Game of Thrones beyond the Wall, each Mainland would be home to several different ethnicities, one major superpower, and one trading company. (Why make a point to mention ethnicities? Because the concept of bigotry doesn't appear to exist within the setting of Sea of Thieves!) That having been said~...
- The Far South is where most people come from, but not necessarily where they hail from. If I had to describe it, it would be like an amalgamation of India and Africa during the point(s) in history where the British Empire ruled them. This region is where the Merchant Alliance would've come from.
- The Far East is the home of the honorable Shiwan Dynasty, which has held a prominent place in history for the last couple of centuries. Imagine if the countries of China, Japan, Thailand, and Korea all united under a single banner. This region is where the Order of Souls would've come from.
- The Far West is the home of the so-called "Sovereign Nation," a wide-ranging Empire that combines the best elements of the British and Spanish Empires during the era of piracy. This region is where the Gold Hoarders would've come from.
