Thedas is bounded to the east by the Amaranthine Ocean, to the west by Tirashan Forest and the Hunterhorn Mountains, to the south by the snowy wastes that lie beyond the Orkney Mountains, and to the north by Donark Forest.
The word "Thedas" is Tevinter in origin, originally used to refer to lands that bordered the Imperium. As the Imperium lost its stranglehold on conquered nations, more and more lands became Thedas, until finally people applied the name to the entire continent.
The northern part of Thedas is divided amongst the Anderfels, the Tevinter Imperium, Antiva, and Rivain, with the islands held by the Qunari just off the coast. Central Thedas consists of the Free Marches, Nevarra, and Orlais, with Ferelden to the south.
What lies beyond the snowy wastes is a mystery. The freezing temperatures and barren land have kept even the most intrepid cartographers at bay. Similarly, the western reaches of the Anderfels have never been fully explored, even by the Anders themselves. We do not know if the dry steppes are shadowed by mountains, or if they extend all the way to a nameless sea.
There must be other lands, continents or islands, perhaps across the Amaranthine or north of Par Vollen, for the Qunari arrived in Thedas from somewhere, but beyond that deduction, we know nothing.