This question has produced many thousands of pages of speculation by Sherlockian scholars. Of course, the entire point of Sherlockian scholarship is to refute what everybody has said before and come up with a new theory of your own.
Europe is a given, since England is part of Europe.
Asia is possible, but some people object since the war had already started when Watson landed in Bombay and he rushed right to the battlefield, got wounded, and was an invalid in a hospital for several months before coming home, giving him little opportunity for dalliance. No Victorian gentleman would make a public reference to encounters with prostitutes and those would hardly be the sort of experience of women that was being referred to in the first place, since the quote comes the first time Watson sets eyes on his future wife.
Africa is unlikely because of the same logic.
Australia is a much better bet. In The Sign of the Four, Watson says specifically that he had “seen something of the sort on the side of a hill near Ballarat,” presumably meaning he had watched the prospectors dig there. So he has been to Australia. The problem is, when? There’s no evidence that he left England after returning from the war and the usual date for his birth, 1854, leaves no time for a medical degree before going to war in 1878. Either he was a precocious boy or he was older than usually postulated (though there is zero evidence of a birth date) or else he had traveled in the 1880s.
If he did travel without mentioning it, then any continent is a possibility. This hole is large enough to drive any number of lorries through.
Two marriages are specifically mentioned in the Canon, both after this quote, but the laxness of the dating of the stories by Doyle, the world’s laziest hack, who didn’t even bother rereading the first half of stories when writing the second half, let alone go back and try to avoid errors, allows other marriages to be reasonably inferred. I’ve seen articles with up to six marriages. If the good doctor had been married multiple times then his experience of women would be very real, whatever continent he found them on.
With no real evidence and the entire world open to speculation in a make-your-own-rules game, there can never be an answer to this question. Have fun with it.