The setting for Psychological thrillers tend to be wide ranging and encompass a large range of settings, such as suburbia, like Donnie Darko, the rich upper class penthouses of the city, like American Psycho. To cheap and decaying house city of Fight Club. The environments often reflect the characters, for example Teddy Daniels isolation in his fantasies are shown in the location of the island itself.
The locations n psychological thrillers generally reflect the characters themselves, to reveal another side of them a reflection of how the character sees the world in general. The ending to Vertigo, features a man climbing a spiral set of stairs confronting his fear of height's in the finale of the film, the character is always key to the film, and the environment has to reflect the character.