The overwhelming majority of the events that are happening contemporaneously in the main book series take place within the confines of the United Kingdom. The sole exception seems to be Voldemort's hunt for the Elder wand. Harry sees the search for Gregorovich and his attack on Grindlewald (at his prison in Nurmengard) through Voldermort's eyes in realtime.
He approached one of them, then saw the whiteness of his own long-fingered hand against the door. He knocked. He felt a mounting excitement …
The door opened: a laughing woman stood there. Her face fell as she looked into Harry’s face, humour gone, terror replacing it …
‘Gregorovitch?’ said a high, cold voice.
She shook her head: she was trying to close the door. A white hand held it steady, prevented her shutting him out …
‘I want Gregorovitch.’
‘Er wohnt hier nicht mehr!’ she cried, shaking her head. ‘He no live here! He no live here! I know him not!’
Harry Potter and the Deathly Hallows, Chapter 12 (Magic is Might)
“Kill me, then!’ demanded the old man. ‘You will not win, you cannot win! That wand will never, ever be yours –’
And Voldemort’s fury broke: a burst of green light filled the prison room and the frail old body was lifted from its hard bed and then fell back, lifeless, and Voldemort returned to the window, his wrath barely controllable … they would suffer his retribution if they had no good reason for calling him back …”
Harry Potter and the Deathly Hallows, Chapter 23 (Malfoy Manor)
There are a considerable number of other events that take place outside the UK, for example arrivals of students from overseas for the Tri-Wizard cup, Hermione's holiday to France, the arrival of Quidditch teams from around the world for the World Cup, Voldemort attacking Prof. Quirrel in Albania, Hermione's parents traveling to Australia, The Weasley family traveling to Egypt, etc but all of these take place in retrospect or are recounted via a third-party to the reader or are told to people in the story.
All of the events of the original film series take place in the UK (with the exception of the "flashback" events recounted above) however the first film of the Fantastic Beasts series of films takes place entirely in America. The next film is apparently going to be based in Paris.