I have two items to start off with:
Cloud Atlas, by David Mitchell (2004): one of the nested stories is set in Zedelghem.
The Guns of Avalon, by Roger Zelazny (1972):
"From Antwerp we had traveled to Brussels, spending several evenings at a club on the Rue de Char et Pain before the man I wanted found me."Anything more?
(I'm specifically thinking of written sf and fantasy. If we expand the scope out to comics there are an awful lot more, starting with Tintin.)
Edited to add: sammywol reminds me - as I should have remembered perfectly well - of Jonathan Strange and Mr Norrell, by Susanna Clarke (2004) which features the Battle of Waterloo.
Michael Ross raises the question of Kate Elliot's "Crown of Stars" series. As far as I can tell these are set in a rather distorted Europe, to the point that you couldn't really count it as "set" in France, Belgium, etc. Same goes for the Kushiel trilogy (though as far as I remember they avoid the Low Countries entirely).