Middle-Earth is the human-inhabited world, that is, the central continent of the planet. We do not know many underground sites exist, but at least we have listed four of them. This is a short list, and so we listed them all on this page, and not each country separately.
The Glittering Caves of Aglarond
Bag End
Henneth Annûn
Khazad-dûm
Map of Middle-Earth
Search DuckDuckGo for "Middle-Earth"
Middle-Earth - Wikipedia
TheOneRing.net
The Lord of the Rings