Dickens uses the setting of the novel to better portray the tone of the tale, specifically the misty marshes near which Pip grows up. These marshes are used to evoke a feeling of uncertainty and danger, from meeting the convicts in them with the file and food to being kidnapped and nearly murdered in them later in his life. This tone that accompanies the marshes is foreboding of Pip’s mysterious fortune given to him, as he has to walk through the marshes to London to begin his new life.
EDIT: During Pip's first trip into the marshes, he relates them perfectly to how he feels internally, saying that "the damp cold seemed riveted, as the iron was riveted to the leg of the man." (17) Pip feels contained and threatened in the marshes, as though they know that he has stolen food from his sister and is doing something illegal: helping an escaped criminal.
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