Isabel Allende is one of my favourite authors, and I think lots of her books do a great job of making you feel in the different settings. My favourite is House of the Spirits - it’s not said that it’s Chile but it’s set in Chile.
Other books that came to mind:
Gabriel Garcia Marquez - One Hundred Years of Solitude, Love in the Time of Cholera (Colombia)
Aravind Adiga - White Tiger (India)
Arundhati Roy - The God of Small Things (India)
Marlon James - A Brief History of Seven Killings (Jamaica)
Elizabeth Von Arnim - The Enchanted April (Italy)
Andrea Camilleri - The Inspector Montalbano Mysteries series (Sicily)
Miguel Torga - Tales from a Mountain (Portugal)
Jose Maria de Eça de Queiroz - The Maias, The City and the Mountains (Portugal)
Nikos Kazantzakis - Freedom and Death (Crete)
Chimamanda Ngozi Adichie - Half of a Yellow Sun, Purple Hibiscus (Nigeria)
Wangari Maathai - Unbowed (Kenya)
I did a lot of this sort of reading during lockdowns!