(For the episode, see The Gathering)
The Gathering is a subconscious summoning effect which happens in order to force Immortals together, and then force them to participate in the Game. It is not known whether the Gathering is a byproduct of the Quickening, the Power of the Immortals, an outside influence controlling the Game, or any combination thereof. The end result is the same: Immortals feel an uncontrollable urge to seek out their own kind and issue challenges.
Dialog from the movie and series may suggest the Gathering is not a single event but rather refers to the phenomenon itself which can be applied to any location.
The dialog between Duncan and Tessa in For Evil's Sake also support this implication. Tessa remarks that "When we left the States I had this fantasy that the Gathering wouldn't find us ... I know, it's everywhere ..."
Additionally, the fact that Duncan has not been seen taking a head for years at the start of Highlander: The Series implies that the Gathering does not summon all immortals at once.
Finally, in Kurgan Rising Duncan wonders if another Gathering may be occurring indicating that the Gathering may be a cyclical or periodic event rather than a single occurrence in a single location heralding the end of immortals and the awarding of the Prize (though it is likely that was what was intended when the concept was introduced in the first film).
A cyclical or periodic Gathering may also help explain why pre-immortals and new immortals are apparently being born or deposited regularly even though the Game dictates that there are a finite number. It may be that the Gathering draws a certain cohort of immortals at any one time reducing their numbers at set intervals. This is, of course, purest speculation.