According to an official release, the photo was taken at the 46-year-old’s new residence at the White House.
Not to split hairs, but I don't believe she is actually in residence there quite yet. (And I'm not complaining about that, either. I think it is very reasonable to allow Barron to finish the school year uninterrupted.)
It's a lovely photo. I really like that she has so far been very modest in her fashion choices, even though she could obviously pull off a more daring style if she chose.