I am able to create an email send definition in a folder by using the Category ID in the SOAP object 'EmailSendDefinition' (https://developer.salesforce.com/docs/atlas.en-us.noversion.mc-apis.meta/mc-apis/emailsenddefinition.htm). The default folder for Tracking Destination is coming as 'My Tracking'. How can I change that through SOAP API?
This is not possible via the SOAP API and there is not a REST endpoint for these, so I do not believe this is currently possible. The only way to assign custom tracking location is via the UI. Which really stinks. I hope that a REST endpoint may be coming down the line soon and it will give better options.