Stage - the raised platform on which the performance occurs Scenery - the background that gives the feeling of where the performance occurs Set - Everything on the stage except for the actors. Includes the scenery and all props (furniture, etc.)

A "set" means the backdrops, furniture, etc. for one specific scene. "Scenery" is an uncountable noun for all of the kinds of stuff that are used in sets. "The Metropolitan Opera stores all of its scenery in containers in a storage yard in Newark, New Jersey. This scenery includes the all the different sets for dozens of operas." The "stage" means the place where the actors perform--traditionally, a raised platform with curtains in front of it.