One of the big things you have to understand about cosmology in Exalted to understand it properly is Elsewhere.
The setting itself is a infinitely large "sea" of pure chaos in the center of which is Creation, a section of chaos which as had order and matter and causality imposed on it (and in doing so, has defined all of the Wyld by its very existence). All of the Wyld (the pure chaos) and Creation is constructed of a substance called Essence. Essence can be seen much like energy/matter in our universe. Pure Essence is pure potential, and has a quanta called a mote. A single mote of pure unaspected Essence has to potentially to become pretty much anything and (in its purest state) often exists as multiple different things at the same time.
Creation simply took motes of Essence (on the teramote and higher level) and aspected them towards certain tasks. What this means is that they introduced a stasis in the Essence flows that made certain motes more likely to be one thing and not another thing. The most elemental level of this is the five elements, Air, Earth, Fire, Water and Wood. So a mote that has become Air-Aspected is more likely to manifest as something related to the conceptual properties of Air than it is to the conceptual properties of Fire. When the Primordials built Creation they nailed it in place in the Wyld by afixing it to four "elemental poles" which serve as infinite sources of aspected Essence of their type. The most stable of these five elements (Earth) they put in the center to serve as the literal and metaphorical bedrock of their new Creation.
As an aside at this point the Primordials didn't merely afix base matter and energy into the poles. They also nailed metaphorical concepts and ideals in place alongside with (or as part of, or in addition to, its confusing) the elemental poles. Their are hints that they did this by capturing and defining a bunch of Wyld based metaphor gods called Shinma though this is only hinted at in several books and not out and out stated. In practice what it means is that in addition to the five elements of Air, Earth, Fire, Water and Wood they created the Virtues (Willpower, Compassion, Conviction, Temperance and Valor) at the same time. Or maybe "created" is a bad word. Like elemental Essence what they did was made it so that certain flows of Essence were more likely to express as thoughts and deeds related to those five Virtues than as other things. Like Earth they centered the Virtue system around the central pillar of Willpower because Willpower was the thing that was most resistant to the Wyld. The other four serve as channels, a way to control Willpower in specific ways towards certain ends.
Now that the Primordials had created fixed things (in both the Elements and the Virtues, though they may be two sides of the same coin) they could build upon this foundation. By combining and mixing and opposing and reacting between the various Elements and Virtues they created what we think of as Creation today. They made land and oceans and skies and trees and animals and rivers and sentient races and gods and all sorts of cool things by clever control over how the various peices all fit together. It is likely that when they first made Creation there was nothing but the Elemental Poles, however as they expanded Creation the poles moved outward away from each other. Even later when the Solars took over and expanded creation still further the Elemental Poles still always mark the ultimate outer edge of Creation. It should be noted that each of the poles is infinite in its own way. Even the Pole of Earth is a mountain that goes down infinitely.
The important thing to remember here is that all of these things. All the Elements, all the Virtues and everything created in Creation and everything outside of it, even the Primordials and Shinma themselves are made of Essence. Some of it is more stable than others (the Essence of a human being is very likely to remain in the shape of a human being unless influenced by outside forces, for example) and some is less stable (at the outer reaches of the Wyld Essence can not even be said to have a stable shape or form at all) but it is all the same "stuff" when you get right down to it. A mote of Essence from Pure Chaos is the same as a mote of Essence from the Pole of Earth.
This is where Elsewhere comes in.
Elsewhere is a metaphorical and practical concept. It is a place where Essence does not exist. Since Essence makes up everything than Elsewhere is a place where nothing exists. In effect, it is nowhere and nowhen. It does not have the potential to be anything. In Elsewhere there is no time or matter or thought.
The trick is that it is possible to break INTO Elsewhere. Since Essence can be forced into any shape or concept of which you can concieve it is possible to make it into Elsewhere as well. In effect, you are making something into nothing. This creates portals which you can use to move things into and out fo Elsewhere.
This can be extremely useful. For example, you can "put" an object in Elsewhere (like your daiklave). While it is in Elsewhere as far as Creation is concerned it does not exist (since it has no connection to Creation). This means nobody can find and steal it or take it from you and so long as you can remember how to open the portal to Elsewhere that connects you to your daiklave you can retrieve it anywhere you happen to be. You could put it in Elsewhere while standing next to the Pole of Fire and retrieve it later while at the Pole of Air (or in the Pure Chaos of the Wyld, or in Malfeas or Autochchtonia or anywhere else). Since time, space and other concepts do not exist in Elsewhere anything you store there will not age or be damaged and so on. In effect, you pushed into the conceptual "nothingness" and forged a minature pocket universe entirely seperate from the rest of the universe that consists entirely of your Daiklave.
Where this becomes important to the cosmology of Exalted is once you realise you can put more into Elsewhere than just your daiklave. Since a daiklave is just a pattern fo Essence and since everything is made of Essence you can put anything you can conceive of in Elsewhere. And since time, space, matter, energy, thought and so on are all just patterns of Essence you can conceive of... I think you know where I am going.
In effect, by utlizing Elsewhere you can forge entire pocket universes. These universes can contain anything found in Creation or the Wyld (which is to say, anything at all) so long as the creator has enough mastery of Essence and enough imagination to conceive of it. For example, all Gods have an innate and instinctive ability to do just that. They create "sanctums" for themselves which are tiny pocket universes outside Creation and The Wyld, unconnected to anything else where they can rest and recover. Depending on the power and skill of the god in question this sanctum can be anything from a meager den full of nothing but dirt and enough space to lie down in to an opulent mansion and estate several acres across complete with a farm for growing food, running water and servants to operate it and attend to your every whim. Doing this is quite taxing and difficult and gods can only ever create one sanctum for themselves (though once created they can expand and improve upon it, especially as their personal Essence increases). Because of this they always create a stable fixed doorway which leads into and out of the sanctum. Think of it like a wormhole that tunnels out of of the primary universe (Creation et al) into that one pocket universe. Access to the right Charms and Spells can allow you to enter a god's sanctum without their permission, or even to usurp it from them! (Note: Some more powerful gods can move the entrance to their sanctum around or hide it in various way but this is the exception, not the rule.)
Since there are thousands, maybe even millions of gods with sanctums in Creation these means that Creation is riddled with this tiny wormholes, all leading to the personal pocket universes of the various gods who created them. However that isn't all. There are truly epic, truly massive communal sanctums as well!
Yu Shan was the first such sanctum and was created by the Primordial to be their city and respite from Creation. Yu Shan is a massive sanctum, the size of the Blessed Isle which is tied to Creation by not one, but sixty one seperate tethers/gateways (sixty fixed and one mobile). When the gods overthrew the Primordials they took Creation as their city. Many of the most powerful gods no longer bother to maintain personal sanctums since life in Yu Shan is much ore lavish and agreeable than anything they could create. Thus Yu Shan does no exist "above" Creation except in a metaphorical sense. It is outside Creation (and the Wyld) floating in the endless nothingness of Elsewhere apart from all other things in Elsewhere. Impenetrable adamant walls and a massive indestrutacable dome seperate Yu Shan from the utter nothingness outside it. Since it is impossible to break through those barriers, nobody knows what would happen if you did.
The various other realms of Exalted's cosmology also exist in Elsewhere. However they are not sanctums like Yu Shan or the various devine ones are. Instead what happened is that the Primordials themselves forged other realms out of their own Essence. Take Autochthonia for instance. Autochthonia is Autochthon. He is a planet size mass full of grinding gears and tubes and oil and lightning with a crystal core. Inside his flesh dwell entire civilizations of humans and Exalts, masses of mechanical gods and his various component souls (the Divine Ministers). Autochthon slipped his entire body and everything inside him into Elsewhere to escape from Creation thousands of years ago. Unlike other realms in Elsewhere Autochthon is unconnected to Creation in anyway. There is no way of getting from one to another. In effect Autochthon has turned himself into a planet sized alternate universe, seperate from the rest fo Creation. Of course, this means he has no access to the infinite Essence of Creation/The Wyld and as such has been slowly breaking down for thousands of years. He did, however, leave various ways that he and Creation could be reconnected (called the Seal of Eight Divinities) and what happens when the people inside him get desperate enough to break these seals and reconnect to two worlds is one of the potential plotlines of Exalted.
Similar to Autochthon is Malfeas. When the Exalted defeated the Primordials the gods decided not to kill the losers but banish them. So they forced the Primordials to take oaths of surrender and obedience, broke them, twisted them all up inside themselves and pushed them into Elsewhere, making it so that they could never return to Creation again. Of course, the gods were smart enough to know that if they completely cut off the Yozi (as the defeated Primordial were called) this might backfire on them. So they left various ways one can travel between Creation and Malfeas. Since the Yozi are not gods and thus not limited like them these rarely take the forms of simple doorways. Instead, it is possible to simply WALK to Malfeas. Just find a desert, start walking in a random direction with the intent to go to Malfeas. Eventually the desert will become Cecelyne and five days later (if your survive) you'll reach Malfeas proper. This makes it hard to determine exactly where Creation ends and Malfeas begins, but make no mistake that they are seperate realms. Malfeas exists in Elsewhere, but maintains a tenous and evershifting connection to Creation proper nonetheless.
If you can understand how that works you can also understand the Underworld. The Underworld formed when the Primordials died. They sank "beneath" Creation but it is more accurate to say they sank into Elsewhere and just so happened to take large chunks of Creation with them! When the Underworld first formed it was a dangerous place, made up of mostly the tombs of the Neverborn and above that the vague halfformed and maleable memories of Creation they held (the further "up" you went from them the more stable and sane and recogniziable this became). Like Malfeas the Underworld is connected to Creation by various tethers that are not as easy to pin down as the entrances to sanctums. These tethers exist on both side of the divide. In the Underworld they are called "fetters" and in Creation they are called "Shadowlands". Fetters are physical objects that tie the Underworld (or one of the ghosts inside it) to Creation. Shadowlands are places where bits and pieces of Creation itself have begun to "sink" into Elsewhere and become part of the Underworld. You can walk through a shadowland and exit either into Creation or the Underworld, depending on the time of day.
At the bottom of the Underworld is the Well of the Void (aka Oblivion). Basically this is ultimate annihilation. Essence that goes into it ceases to exist entirely. Whether this was something intrinsic to Elsewhere that the Neverborn discoverdd when they sank into Elsewhere or something the Neverborn created with their desire to cease to exist is unclear.
And that is a large chunk of what I have learned about Exalted's (somewhat complex) cosmology.
--------------------
Epsilon