The Bermuda Islands are located in the North Atlantic Ocean. Bermuda is a British Overseas Territory in the North Atlantic Ocean. It is located off the east coast of the United States, roughly east-southeast of Cape Hatteras, North Carolina. The Caribbean Sea is located further south, separating the Caribbean islands from Central and South America. The Gulf of Mexico is west of the Caribbean and south of the US. The Mediterranean Sea is located between Europe, Africa, and Asia.