UK Legislation (official legal documents) consists of several different types of documents. The most common ones that St George's student reference are Acts of Parliament, and Statutory Instruments (SIs). Most Acts of Parliament are UK so cover all the devolved nations, however devolved legislatures (Scotland, Wales, Northern Ireland) also produce specific Acts of Parliament and statutory instruments covering their specific country. Search Cite them Right for details of how to reference legislation from specific devolved nations, where necessary, and also for legislation from other countries.
Most of the time you will be using legislation from the UK.