Option 1: Delhi and Calcutta - This option is incorrect. The High Courts were not first set up in Delhi.

Option 2: Bombay, Madras, Calcutta - This option is correct. The High Courts were initially set up in Bombay, Madras, and Calcutta. These three cities were chosen as they were important centers of British administration and commerce in the early days of British rule in India.

Option 3: Bombay, Delhi, Calcutta - This option is incorrect. The High Court was not first set up in Delhi.

Option 4: Madras and Bombay - This option is incorrect. While Madras and Bombay are mentioned correctly, Calcutta was also one of the cities where the High Court was first set up.

In conclusion, the correct answer is option 2 - Bombay, Madras, Calcutta.