These words have much the same general meaning: "a place, district, or spot." Location is much more often used, however, when people are involved in the reference. That is, locality is usually restricted to its geographical meaning, whereas location specifically means "a place of residence or settlement": "Many mines were once worked in that locality." "This valley is a good location for you to settle in." Motion picture companies leave studios to film not "in or at a location" but "on location," meaning a place or spot where action can be filmed.
Dictionary of problem words and expressions. Harry Shaw. 1975.