The tale tells the story of Paxton, an antiquarian and archaeologist who holidays in "Seaburgh" (a disguised version of Aldeburgh, Suffolk) and inadvertently stumbles across one of the three lost crowns of East Anglia, which legendarily protect the country from invasion.

We now hear the story first-hand from the second narrator, who describes being on holiday at Seaburgh some years earlier with his friend, Henry Long, when they are approached by another guest, Paxton, who has a tale of woe to tell.

The story was slightly changed whereby the protagonist was a musician seeking the fabled crown whilst on an archeleogical break, which was set in the fictitious Sussex village of Snowgood.

The Suffolk setting of Seaburgh for "A Warning to the Curious" is a thinly veiled disguise for the seaside town of Aldeburgh,[8] the home of M. R. James's maternal grandmother, whom he visited frequently until her death in 1870.

[9] The town suffers from the coastal erosion common to the east coast, but the majority of buildings mentioned in the story survive to this day; the Martello tower still stands and has been converted into a holiday residence by The Landmark Trust.

A few miles outside Aldeburgh is the small village of Friston, which is home to a church dating back to the medieval period and is likely the basis for Froston in the story, though it lacks the Three Crown motif.