Most of the people in the Bible stories lived in or around a land that was called Palestine in Jesus' day, and which is now part of the modern state of Israel. Rome was a city-state then (Rome is now the capital of Italy), and ruled large tracts of land around the Mediterranean Sea, including Palestine. The Herod family that ruled Palestine during Jesus' lifetime was from Idumea, a southern province in Palestine.
Jesus was born in Bethlehem, fled to Egypt with his parents when he was a baby, grew up in Joseph's hometown of Nazareth in northern Palestine, and worshiped at the Temple in Jerusalem. He did a great deal of his preaching and teaching in the north, around the Sea of Galilee, but he also had friends he visited frequently in Bethany, just outside of Jerusalem. Many of his disciples came from the small towns around the Sea of Galilee.
The distance from Nazareth to Jerusalem is about sixty-five miles. Most of the traveling of Jesus, his family, and his disciples was done on foot.