Rocky location: The end of the run: Philadelphia Museum of Art, Benjamin Franklin Parkway, Philadelphia. But although Rocky is set in Philadelphia, the film’s locations are split between the City of Brotherly Love and Los Angeles.Rocky’s neighbourhood is Kensington, north Philadelphia, where his apartment is 1818 East Tusculum Street.ocky location: The end of the run: Philadelphia Museum of Art, Benjamin Franklin Parkway, Philadelphia. But although Rocky is set in Philadelphia, the film’s locations are split between the City of Brotherly Love and Los Angeles.