In the 2nd and 3rd edition settings Dark Sun has a unique cosmology that differed from the standard D&D cosmology. The material plane is surrounded by three coexistent transitive planes; the Astral Plane, which is the standard plane from the core cosmology; the Elemental and Paraelemental planes; and the Gray and the Black, which are unique to the setting. The rest of the planes from the D&D cosmology do not exist in Dark Sun.
In the 4th edition, the cosmology was brought in line with the World Axis cosmology described in the core rules.
During 2nd edition, and continuing into Dungeons & Dragons 3rd edition, the Gray seemingly surrounded Athas, sealing it away from the rest of the Great Wheel. Yet, Athas seemingly has all of its connections to the Inner Planes (now known as the Elemental Chaos) but access to the Ethereal, Astral, and Outer Planes is mostly impossible. For this reason, souls of the dead could not reach the outer planes, nor could any conventional deities arise on Athas due to a lack of outer planar connections.
The Gray coexists so closely with the Material Plane that it can be seen vaguely seen from the Gray. Beings within the Gray are invisible to those on the Material Plane, however. It is a vast, featureless plane that stretches out into infinity. Moving deep enough into the Gray brings one to into the Deep Gray though distance and direction are virtually meaningless on this plane. The Defilers and Preservers: The Wizards of Athas supplement states that this acts as a barrier between Athas and the Ethereal and Astral Planes. Whereas normally a soul of a deceased mortal would travel (be pulled) via a conduit the Outer Plane matching it's alignment in life, Athas has no conduits (according to City by the Silt Sea) and souls here are trapped in an eddy, until they fade away to nothing. They can, however prolong their existence by dedicating themselves to cause greater than themselves. As far as travel is concerned, it is much easier to breach to Gray traveling to the Ethereal Plane, than the Astral Plane.
The Black is a coterminous and coexistent plane that is an exact negative reflection of the Material Plane. In this plane everything that exists, or could exist, within the Material Plane also exists here. The plane is highly mutable, however, with a tendency to shift, change, or move. Nothing is settled, nothing stays still for long, and any changes made to the Material Plane are also made to the Black. The Black is a distinct plane all its own but also penetrates the Material Plane in a limited manner wherever there are shadows. Magic and psionics may draw power from the Black.
Shadow Giants can draw creatures into the Black. It was hypothesized by Agis and Sadira that the Dragon protected Athas by keeping the Shadow Giants in the Black.
The cosmology these planes have been embroiled in an age-old conflict between the elementals of the Elemental Plane and the paraelementals of the Paraelemental plane called the Unseen War. The results of this battle directly effect their corresponding substances shaping the fundamental structure of Athas' Material Plane.
In order to keep in theme with the World Axis Cosmology, Wizards of the Coast made significant changes to the cosmology of Athas. This mainly included the inclusion of the Shadow Plane and Fey Wild. it should be noted that in this edition there was a war between the Primordials and Deities. It is assumed that Deities don't exist on Athas because the Primordials won.
The Astral Sea
It is said that powerful sorcerers once reached the Astral Sea to find it almost completely devoid of life. All that was left was ruins and monsters.
Lands Within the Wind (Feywild)
Home to the Eladrin race of Elves. Due to the same type of magic that turned Athas into a desert the Feywilds have deteriorated. The landscape is varied, but the Eladrin have made it their duty to protect the remaining bastions they have from Defilers.
The Gray is a ghostly reflection of Athas filled with ruins haunted by the restless dead. It is also home to numerous strange races including shadow giants, nightmare beasts, and a race of devils seemingly stranded in the Gray. It is believed that in previous ages the Gray was the gateway to the realms of the gods or other planes, but the divine realms are now empty and no easy connections exist between Athas and the other planes. Mostly, the Gray contains little more than abominations and empty ruins.
This vast, churning plane underlies everything else and is believed to be the source that forged the world. Also known as "the Elemental Planes" or "the Inner Planes" Athas is close to this plane and connections to it can be found in volcanoes or in the deep desert. The chaotic impact of the Elemental Chaos increases the farther away one gets from civilization.
Deep within the Elemental Chaos is the evil plane of the Abyss, which is home to demons and other evil entities.