In Odoo, a Warehouse is the actual building/place in which your items are stocked. You can setup multiple warehouses and create moves between warehouses.
A Location, is a specific space within your warehouse. It can be considered as a sublocation of your warehouse, as a shelf, a floor, an aisle, etc. Therefore, a location is part of one warehouse only and it is not possible to link one location to multiple warehouses. You can configure as much locations as you need under one warehouse.
There are 3 types of locations:
In Odoo, locations are structured hierarchically. You can structure your locations as a tree, dependent on a parent-child relationship. This gives you more detailed levels of analysis of your stock operations and the organization of your warehouses.