The setting of the Twilight Kingdoms is interwoven with the rules. You'll find that many of the tales, creatures, species, and more have mechanical elements that fit with into the history of the world - few are generic tropes.
The game is meant to be played in this setting, as the setting is meant to be used by the narrator to keep a compelling and shared mental image for all players.
There are several components that can be used to assist. Notably, the use of Regions and spires, the careful usage of the various realms and worlds, the impact of the pantheon of pagan gods, and the bestiary.
Each region is defined in the Regions section; these regions are meant to thematically define what most places in the world look or feel like. By keeping broadly to these regions, all players will have a shared mental image of where they are and what they might expect to find while there.
Spires can be used to setup traditional dungeon crawls; the characters may discover the remains of a spire that may reach up into the sky, dig into the earth, or lay in a crumpled mess across the landscape. The contents to be discovered would be expected to be of Sh'thani origin - weird tech, traps, and creatures should be plentiful; perhaps an evil wizard has already claimed the space, now an integration of magics into the Sh'thani remains ups the challenge and variability of the site.
The main world upon which the players should start is Xan'rius; this is the world described by the regions, and is the world the mortal species are largely now native to. In the setting, however, the shattered sister world, Sh'than, is accessible by powered mirrors at the peaks of the spires (now likely buried in rubble). It is at the narrator's discretion if they wish to allow any mirror to be powered, and thus travel to Sh'than to exist.
Sh'than is a broken world, much of it a wasteland, fractured into separate pieces. The world is ruled by various warring sultanates, absolute isolationist city-states surrounded by mile-high walls, containing all manner of ancient Sh'thani technology. The mirror spires are in as much disrepair on Sh'than as they are on Xan'rius - following the war, the peoples of Sh'than entered an age of isolationism that has not yet released. All manner of horrors and beasts wander the wastes - many the mutated byproducts of ancient experiments. The Sh'thani people are the absolute rulers, all other mortals (many the descendants of transplants from Xan'rius) are lesser castes.
Fae'rela and Zh'vael are two of three cosmic realms (the third, Ra'zad, is largely unknown to the peoples of Xan'rius). Each of these realms is lorded over by one of the pagan gods (the Faerie King and Athya respectively). Mortals cannot simply enter these worlds - only the granting of an estate by the Faerie King allows a mortal into Fae'rela, while typically mortals only enter Zh'vael upon their death. Including activities in these realms (outside of the estates granted by the Faerie King to players who take the Vassal of the Faerie King tale) should seem suitable cosmic in scope.
The bestiary is full of creatures that inhabit Xan'rius (and in fact all worlds and realms). In many cases, those that are native to another world have been provided with descriptions or abilities that allow the narrator to plausibly transplant them to Xan'rius. If one was in another realm, one shouldn't exactly expect to find native Xan'rius creatures there, however.
Many of the creatures in the bestiary are not just "dumb monsters". While they attributes and talents to enable them to participate in the mechanics of the game, many of them could or even should be used more as NPCs, and less as wild creatures to slay. The fae, in particular, fall into this category, but so too do many of the obviously intelligent and driven creatures (particularly those from Zh'vael). Any entry in the bestiary who seems to possibly be motivated by more than simply finding its next meal may be better served as an NPC to interact with that could turn dangerous at any moment, rather than simply starting as a mindless monster that needs slaying.