Where should the enzyme setup file be written?

I had a similar issue

If you are using jest to run your tests, you can create a test-setup.js file and add the snippet from the enzyme docs:

// test-setup.js
import { configure } from 'enzyme';
import Adapter from 'enzyme-adapter-react-16';

configure({ adapter: new Adapter() });

then add a setupTestFrameworkScriptFile key in your jest configuration and point to that file. For example, if your jest configuration is in package.json:

// package.json
{
    ...,
    "jest": {
        "setupTestFrameworkScriptFile": "<rootDir>/test-setup.js"
    }
}

from the jest docs
https://facebook.github.io/jest/docs/en/configuration.html#setuptestframeworkscriptfile-string:

The path to a module that runs some code to configure or set up the testing framework before each test. Since setupFiles executes before the test framework is installed in the environment, this script file presents you the opportunity of running some code immediately after the test framework has been installed in the environment.

This will execute after your jest environment is initialised, but before your enzyme tests are executed

For people using create-react-app
You need to run yarn eject or npm run eject, then you will see jest configuration in your package.json.
In addition, setupTestFrameworkScriptFile is currently deprecated in favor of setupFilesAfterEnv.