This is located where the large trebuchet is during the campaign where the short bridge hangs over the lava. Marauder's - A3 Bridge of Korsikk: Take the Korsikk WP and work your way to the middle of the map. At the very end of the path it will be at the end here.

Roland's Legacy - A2 Road to Alcarnus: Take the WP and follow the path to the left to where it's a dead end. Walk all the way down and before the next exit it will be on the right. Seeker of the Light - A2 Ancient Waterway: Take the Ancient Waterway WP and then enter the Waterlogged Passage. Walk up the path and as you near the very beginning there will be a small nook at the bottom where you will find the dungeon. Invoker - A1 Tristram: Walk out of town towards Outlook Road, which is the path when you first start the game.

Inside here simply walk to the bottom of the Armory and here you will find it.

Akkhan's - A3 Bastion's Keep Stronghold: At the bottom right you will go down into The Armory. Make your way up the stairs and at the very top after a few flights will be the dungeon. Wrath of the Wastes - A5 Pandemonium Fortress Level 1: Go to the waypoint and walk down and back. Follow the path and just before a set of arches on the left the dungeon will open. Raekor's - A5 Overgrown Ruins: Walk to the right of the Survivor's Enclave and go out. To the right of the entry the dungeon will open. Might of the Earth - A2 City of Caldeum: Take the WP and fight through the enemies towards Belial. Immortal King's Call - A3 Ruins of Sescheron: Walk northwest and just inside the ruins take a right turn. If you wish to find these on your own then wear the 6-piece bonus and go to Leoric's Library in the new zone in A1 of Leoric's Manor. I decided to put together a video that should make it fairly easy to locate each and every one for every class. So one question that I'm already asked a lot is 'Where are the set dungeons?' Mostly just a specific one every time.

Diablo 3 set dungeon location