Sounds like you started in Gridania and migrated, probably by foot, to Ul'dah so you could play with your friend.

As the others have said, there are quests in each nation that are only available to people from that nation. They are mostly low level quests, up to about 15. If he were to trek back to Gridania with you, he would find there are quests available to you but not him.

What you should do is head back to Gridania and catch up on the nation, class and story quests there. Then you can meet up with your friend again. At level 15-ish you'll get sent back to Ul'dah anyway in the story.