Gosh!
OK, only the one obvious new location here. There was the usual Chateau, sets, and generic forest scenes...
As we saw earlier on, it's nice that Gaius's room has been given a ceiling - I assume this was built new for the 5th season.
The exterior of the Dochraid's cave was perhaps mocked up in Puzzlewood, while the interior was almost certainly a set.
Morgana and Aithusa were hanging out in Puzzlewood.
I assume that much of the action during the latter parts of the episode was at Trefil Quarry. It may be no coincidence that director Alice Troughton has named Trefil as her favourite location.
I'm not sure about the 'Cauldron', but perhaps it was in or near Trefil Quarry. Can anyone who's visited confirm or deny...? There was such a beautiful colour to the water. ♥