Chtulhu by Gaslight is set in England in the 1890'ties. The core BRP rulebook covers all time periods from the 1890'ties to modern times. Mainly focused on three areas. Late Victorian, the 1920'ties (the period of most of H.P. Lovecraft's writings) and modern. The main focus for the D20 book was meant to be the 1930'ties (Pulp Chtulhu) although it was not required to play in that era. There is supposed to be a Pulp Chtulhu book in developement, but it will probably not be released anytime soon.
Chaosium recently released a Chtulhu Dark Ages book focusing on the late middle ages (ca. 1000 AD). This book is supposed to be okay, but I have only seen a couple of reviews and looked at it a couple of times in my flgs.