Montmaray is a figment of the author's imagination, but many of the places described by Sophie in The FitzOsbornes in Exile are real.
Montmaray House is fictional, but if it existed, it would be near Kensington Palace. Henry walked Estella and Carlos in Kensington Gardens, visited the Zoo at Regent's Park and the Natural History Museum with her governess, and was disappointed by the lack of clowns and acrobats in Piccadilly Circus.
During Sophie and Veronica's visit to Whitehall, they saw the Changing of the Guard, the Prime Minister's residence at Number Ten, Downing Street, the Houses of Parliament, the Locarno Suite in the Foreign Office, and the Cenotaph (pictured at right). The girls were presented to the King and Queen at Buckingham Palace, went shopping at Harrods, had tea at the Ritz Hotel and viewed Picasso's Guernica at the Whitechapel Art Gallery. Veronica also spent a lot of time at the British Museum.
The Kennedys lived at Number Fourteen, Prince's Gate, not far from the Mitfords' house at Number Twenty-Six, Rutland Gate. Julia and Anthony's flat was in Park Lane opposite Hyde Park, and their house was in Belgravia.
Milford Park is fictional, but if it existed, it would be in Dorset, halfway between Salisbury and Shaftesbury. The house at Milford Park is based loosely on Saltram House. The Bosworths and the Stanley-Rosses lived in Wiltshire. Rebecca lived in the coastal town of Poole, and Alice's family lived further south, in Fowey. The house party in Yorkshire that the FitzOsbornes attended was held at a house based on Wentworth Woodhouse (pictured below), which was then the largest privately-owned house in Britain.
Toby and Rupert lived and studied at Christ Church, a college of the University of Oxford. The quadrangle that Sophie, Rupert and the cat walked through was Tom Quad. There's some fascinating information about Lewis Carroll's association with Christ Church at this Alice in Wonderland website.
The FitzOsbornes travelled by the Golden Arrow train and the Canterbury ferry to Calais, then took the Flèche d’Or train to Paris. Sophie and Simon travelled down the Boulevard de Magenta, from which they caught a glimpse of the Eiffel Tower and the former site of the Bastille. They spent the night at Lyon, then continued to Geneva, where they stayed at the Hôtel des Bergues. The headquarters of the League of Nations, the Palais des Nations (pictured at right), is now part of the United Nations.