It is set in an open post-apocalyptic wasteland consisting of deserts, canyons, and caves. Players control Max Rockatansky as he progresses through the wasteland to seek revenge on a gang of raiders, led by Scabrous Scrotus, who robbed him of his possessions, and along with his assistant Chumbucket, he aims to build the ultimate car: the Magnum Opus. Mad Max emphasizes vehicular combat, in which the player uses weapon and armor upgrades on their car to fight enemies, while on-foot combat combines professional wrestling attacks and boxing techniques. The game features extensive car and character customization, and soft boundaries, also known as the "Big Nothing."

Based on this passage, where does the mad max game take place? Let's think fast. Stream of consciousness:
To answer this question, we should know that: It is set in an open post-apocalyptic wasteland consisting of deserts, canyons, and caves. So the final answer is an open post-apocalyptic wasteland consisting of deserts , canyons , and caves.