In a McKinsey women meeting I met people from these 3 locations.
A priori, I tought that the Copenhagen office would have a better lifestyle -and indeed, it was better than Spain-, but it was still hard! Not better than the average european cities, such as Amsterdam.
Offices in the Middle East are more peculiar, both in terms of traveling -much more than Europe from Monday to Thursday- and topics -more public sector-.
In any case, as you might know staffing is global, so it can perfectly be that you sign up with the Copenhagen office and spend one year working in London and the following one in Colombia!
Hope it helps! Cheers,