Earth at one point an idyllic location, with each of the neighbouring worlds ruled by a powerful and benevolent king. A creature from one of the realms killed the gatekeeper and traveled to Earth and took on the role of the devil or ruler of the underworld. This threw the remaining worlds into chaos. Other than Earth the other worlds are in the realm of magic (Myst), the realm of dreams (Neverland), the realm of virtue and hope (Oz) and the realm of wonder and imagination (Wonderland).
In terms of the publication of the Grimm Fairy Tales series, different series are based in different realms.