Well, the title is self explanatory. The first three mad max movies take place in dystopian Australia as it is specifically mentioned here. But in Fury Road, I haven't seen any specific mention about where it takes place. So does it take place in dystopian Australia? If not, where does it take place?
It is not explicitly mentioned in the movie, but it would be safe to assume that the story takes place in Australia itself, because the character Max keeps dwelling in the Australian outbacks in the first 3 installments, which span more than 20 years. So we can tend to believe that the character's fate is to dwell in the Australian Outbacks only.
Secondly as we know that there is fuel-shortage scenario in the background of this dystopia. So traveling outside country seems less plausible. More so because Australia is an island and the nearest country New Zealand has an entirely different landscape. So taking a clue from the outdoors in this latest franchise, along with character info, we can assume that it takes place in Australia.
It might have been filmed anywhere in the world which can resemble Australia, but we have no indication in the 4th part that the story has changed its location.
We don't have enough information to be sure - at least, not from the film itself.
No character in Mad Max: Fury Road mentions they are, other than through reference to the 5 named places we get in Mad Max: Fury Road. These places are;
- The Citadel (stronghold of Immortan Joe)
- Gas Town (stronghold of The People Eater)
- The Bullet Farm (stronghold of the Bullet Farmer)
- The Green Place (home of the Vuvalini/the Many Mothers)
- The Salt (implied to be a dried up seabed)
None of these places seem to be references to real world locations other than The Salt, and even that doesn't give us any information about the real world location of Mad Max: Fury Road other than it is meant to be within a couple of days driving distance to an ocean.