During transition scenes, different areas of Toronto — especially the downtown area — are seen. Areas of the city are also seen during scenes in which the characters are outside. Although it is never confirmed, it is starkly implicit that the show is set in this city.
The closest the show has gotten to stating that the setting is Toronto is in "Leon Me," when Michelle credits Leon Blackwood with creating a studio in the city. It also marks the first time the city's name is explicitly mentioned.