The Axe is a region on the continent of Essos, located to the east of Westeros. It is a large, axehead-shaped peninsular extending northwards into the Shivering Sea.
In the books
In the A Song of Ice and Fire novels, the Axe is a mountainous headland, an extension of the hills and mountains to the south. Norvos maintains mines in this area. Ores are taken by land down to the Darkwash River and thence to Norvos and Qohor.