The Christmas story of Rudolph the Red-Nosed Reindeer is set in a fictional town called "Christmas Town" during the holiday season. The story takes place during a time when Christmas was celebrated with great joy and excitement, and it focuses on the adventures of a young reindeer named Rudolph who has a bright red nose. The story is centered around Rudolph's journey to find his place in the world and to ultimately prove his worth to others.