BBC Casualty is filmed at BBC Roath Lock, Cardiff, South Wales. For the first 25 years of Casualty was filmed in Bristol. However shortly as part of the 25th anniversary episodes in 2011, the entire set was burnt down as part of the series finale. The show then moved to a purpose built exterior and interior set in Cardiff. In the image below you can see the outside set of the hospital.
Use this interactive map to explore the area.