They once all lived on the Prime, but were banished from it by my "Uber-God" figure (who, in my entire mythos, has done a total of 5 things) when they began to cause too much chaos.
The VAST majority of them now reside in my Hell and Heavens planes. Instead of having a huge number of planes for the Hells/Abyss/etc... I have one - and it is infinite in size, with the 9 Hells being 9 regions at the 'core'. The Heavens are finite in size, there are 7 regions to them, and that results in a limit to the number of souls that can be there. These two replace the majority of the Great Wheel Cosmology's proliferation of planes.
I also have Gods living within the Astral Sea (Sardior, the Lady of Pain in my version of Sigil), the Elemental Plane (again, I only have 1 elemental plane - the Elder Elemental Gods reside there)), the Shadowfell, and the Feywild. Beyond those, the Positive Energy Plane and Negative Energy Planes are worshipped as Gods (and have a degree of sentience), and on the Prime we have the Raven Queen, 9 Demi-Gods that are essentially voluntary Avatars of some of my greater gods, and 6 Powers from my version of the Cthulhu Mythos.