This all happened at Bethany on the other side of the Jordan, where John was baptizing.
This is not the Bethany near Jerusalem where Mary and Martha lived with their brother Lazarus. We do not know precisely where this was, but presume that it was somewhere near where the Sea of Galilee empties into the River Jordan. Some think that it was an alternative spelling for Batanea (called Bashan in the Old Testament). Don Carson suggests that John uses to alternate spelling for symmetry - showing that Jesus' ministry began and ended at Bethany (albeit a different one).