The earliest references to King Arthur come from Wales and early Welsh literature. If there really was a King Arthur, he seems to have been passed down to us via Welsh legend
Bardsea Island Bardsey Island is off the northwest tip of Wales. One says that Merlin is buried here. Another is an adaptation of the cave legend, where he lives in solitude as a hermit. Another is as the Island of Avalon, the final resting place of King Arthur.
Berth Pool The Berth and its pool are just outside the town of Baschurch in mid Wales. The site itself is surrounded by marshy lowlands that would have been flooded in the time of King Arthur (much like Glastonbury) and would have given the earthwork the appearance of an island.
Bosherton This lake is in the southwestern corner of Wales in the town of Bosherston, not far south of Pembroke. It is a putative home for the great sword of King Arthur, Excalibur.
Bryn-rhyd-yr-arian The small town of Bryn-Rhyd-yr-Arian is hidden away in the mountains of North Wales. There is not an aweful lot to link the site to King Arthur except a local folk tale about the Round Table.
Cader Idris Welsh legends say that King Arthur made his kingdom there, hence the name Cader Idris: or the Seat of Arthur.
Caerleon Caerleon is a small Welsh town beside the River Usk, a few miles north of Newport. The name in Welsh means "City or Fort of the Legion." Legend says that after the Romans left Britain, King Arthur set up court at Caerleon.
Carmarthen Carmarthen is in South Wales. There are three sites with Merlin connections in the Carmarthen area.
Dinas Bran Dinas Bran is outside the town of Llangollen in Northern Wales. Dinas Bran is said to be a model for the Grail Castle. The search for the Holy Grail being one of the central King Arthur legends.
Dinas Emrys Dinas Emrys is in the Snowdonian Mountains of Northern Wales. The site has legendary connections to Vortigern
Eliseg Pillar The Pillar of Eliseg is outside the town of Llangollen in North Wales. The pillar has two separate inscriptions, one newer and more legible than the other. The old, weathered inscription was the one containing the pedigree of Vortigern.
Ganarew King Arthur Cave is just a few miles north of Monmouth, at the bottom of the southeast slope of the Little Doward Hill. It is the home of one of the many King Arthur cave legends.
Little Doward Little Doward is just a few miles north of Monmouth. There are connections to Vortigern, but not much remains up here from Vortigern's time;
Llyn Barafog Llyn Barfog, or the Bearded Lake, is the setting for a particularly adventurous encounter between King Arther and the lake monster.
Llyn Dinas In the Snowdonian Mountains of Northern Wales. One of the many mysterious pools or lakes which have been associated with King Arthur.
Llyn Llydaw This lake is in the Snowdonia National Park, in North Wales. Local legend believes that Sir Bedivere threw the Excalibur into this lake below Mount Snowdon. Some legends also say the lake is the one over which the wounded King Arthur sailed to the Isle of Avalon.
Llyn Ogwen The mountain of Tryfan, deep in Snowdonia is said to be the burial site of Sir Bedivere. And this lake is one of the two putative locations for the resting place of Excalibur, the sword of King Arthur, in the Snowdonian mountains
Nant Gwrtheyrn Nant Gwrtheyrn ('the valley of Vortigern') is outside of the small town of Llithfaene on the Lleyn peninsula in North Wales. This is the supposed grave of Vortigern.
Ruthin Ruthin is in northeast Wales. Huail was said to have been beheaded on the stone in Ruthin
St Govan St Govan's Point is the most southerly point on the Pembrokeshire coast. According to some legends Gawain became a hermit here after the death of King Arthur. And on his own death was buried here.
If King Arthur ever lived, much folklore would say it was in Wales
The Legend of King Arthur