Officially, Mickey and friends live at Mickey's Toontown in DISNEYLAND. They merely vacation at Walt Disney World in Florida.
This idea isn't really mentioned at DISNEYLAND, but it is seen in numerous places throughout Walt Disney World. When Florida's Magic Kingdom had a Toontown, it was actually county fair themed because it wasn't Mickey's real hometown; it was his country home, kept as a way to get away from it all.
Guests staying at a Walt Disney World hotel who take the Magical Express service to Orlando International Airport are fully immersed in this storyline if they pay attention to the video that plays on the motor coach. As the video fills guests in on what to expect when they get to the airport, it shows the Disney characters getting on an airplane to fly to their real home- in Anaheim, California at DISNEYLAND.