The Old Palace of Whitehall, principal London residence of English monarchs from 1530, was mostly destroyed by fire in 1698, leaving only the banqueting hall intact. Henry had married both Anne Boleyn and Jane Seymour at the palace and it was also the place where he died in January 1547.
On this occasion, it seems as though Henry was making a public point by introducing his children, as his heirs, to the court. The current queen, Catherine Parr, was absent, as she is in the famous painting, now at Hampton Court, The Family of Henry VIII. As David Starkey says, this painting, set in Whitehall, almost certainly commemorates the occasion. It was commissioned by Elizabeth I, possibly as a way to emphasise her right to the throne through her Tudor descent, as a gift for her cousin and spy master, Sir Francis Walsingham.