New York is a state in the Northeastern and Mid-Atlantic regions of the United States. The X-Men are in Westchester located just north of New York.
History
Original Timeline
X-Men: First Class
Erik, Charles, Raven, Alex, Hank, and Sean trained at the X-Mansion In Upstate New York to prepare to stop Sebastian Shaw’s plans.
X-Men
After rescuing Logan and Rogue from Sabretooth, Cyclops and Storm brung them to the X-Mansion, situated in Westchester, Salem Center.
In an effort to transform the world's most powerful leaders into mutants, Magneto, Mystique, Toad and Sabretooth, along with a kidnapped Rogue, headed to Ellis Island in New York. The X-Men went to the Statue of Liberty, where Magneto's device was situated, and managed to rescue Rogue and destroy the machine.
X2: X-Men United
Stryker and his men attack the X-Mansion and capture a number of students. Although the X-Men managed to rescue them all later on.
X-Men: The Last Stand
To be added
X-Men: Days of Future Past
In the year of 2023, New York was destroyed by the Sentinels and Central Park was turned into a concentration camp, where mutants and the humans who tried to help them were imprisoned.
New Timeline
X-Men: Apocalypse
New York City was one of the many locations to be nearly destroyed when Magneto, under the orders of Apocalypse, manipulates the Earth's magnetic poles so that all the "weak" (whether human or mutant) can be eliminated. Fortunately, Mystique and Quicksilver managed to change his mind, and Magneto halted the destruction.
Dark Phoenix
To be added
Deadpool
Wade Wilson lives in New York City.
Deadpool 2
Wade and Vanessa got an apartment together in New York City.
X-Men: Days of Future Past
After Shadowcat managed to send Wolverine's consciousness back to January 1973, Logan managed to succeed in changing the future and his conscious returned to his body in 2023 where instead of finding a brutal genocidal future instead found himself in the X-Mansion with Ororo, Hank, Rogue, Bobby, Kitty, and even Scott and Jean all alive and well.
Logan Timeline
Logan
The Westchester Incident in which Charles ailing mind suffering from Alzheimer’s caused a psychic seizure that injured 600 people and killed several members of the X-Men occurred in Westchester.