Somewhere in the Milky Way galaxy
Battle World is an assemblage of various planets that have been pieced together. It has a wide variety of terrain and wildlife, as well as several sentient races that call it home.
Secret Wars #1
Battle World was pieced together by The Beyonder, who used parts of different planets to create a battlefield for the heroes and villains of Earth. The creation of the planet was to aid the Beyonder in understanding the concepts of good, evil and desire. Various super heroes and super villains battled on the planet, until finally Doctor Doom took control of the Beyonder's powers, and allowed Molecule Man to take a contingent of super-villians along with the section of the planet that was from Earth back to its original place.
Shortly after the end of the Secret Wars, the planet went into a strange state where sheer will power could grant one one's wish, presumably because the Beyonder had allowed it to be. By this state, Captain America reconstructed his broken shield, and Benjamin Grimm was able to transform from the Thing to his human form.
The planet appeared to break up after Ben Grimm, the last of the heroes who fought in the Secret Wars to return to Earth, left it.