J.R.R. Tolkien’s The Silmarillion is primarily set in Arda.
Arda is the name Tolkien gave to the world created by Ilúvatar in his mythology. It includes the regions and realms described across the book’s creation stories, the history of the Valar, and the long struggles involving the Silmarils, the Elves, and Morgoth.
Middle-earth is not the exact answer because it is one major region of Arda rather than the name of the entire world. Valinor is a blessed land in Aman, while Beleriand is a region of Middle-earth during the First Age.
The Silmarillion was edited and published posthumously by Christopher Tolkien in 1977. It presents material from different periods of Tolkien’s writing and gives background to events and figures later mentioned in The Hobbit and The Lord of the Rings.