On 31 planes of existence
They are said to be located from a certain distance from the human realm. 
ex: The closest heaven to us is the Chaturmaharajika heaven. It is located 42,000 Yojjanas above from the human realm. But the tree devas and certain Asuras/Yakkas also belong to this heaven. The closest hell realm 'Sanjiva' is located 15,000 Yojjanas below the human realm. Refer to this chart for more details.

As I've heard, humans can't see the Devas unless they develop the divine eye or if the devas make their bodies solid and reflective. In the same way, Devas can't see the Brahmas. So I would assume that the places they dwell are also invisible to average humans. You can possibly call them other dimensions or just think of them as what you can't see yet in this world system. It's the same with hell realms. Peta Vattu has stories about hungry ghosts in the human relam.