Mouse: P.I. for Hire takes place in a city called Mouseburg in 1934, after a war in the Old World over an event called The Quite Big Affair. The city is mostly inhabited by anthropomorphic mice, as well as other rodents such as rats and shrews, with the latter being seen as a lesser kind of rodent due to their short nature. They used to have their own town called Shrewthicket, but rising tensions led to it being destroyed.

The city mimics a 1930s styled New York, with cheese prohibitions, film industries, and city corruption. Mouseburg is not shy of crime rates, as there are many criminal operations involved, such as shrew violence, organized crime, and "cheeselegging." While cheese can be eaten as normal, it can also be consumed in a melted state like liquor, and blue cheese and powdered cheese is considered to be the same as drugs.