How to set default PyCharm interpreter?

File | New Projects Setup | Settings for New Projects | Project Interpreter.

This configuration sets the default interpreter for the new projects, note the Settings for New Projects menu, it's not the same as File | Settings which sets options for the current project.

If there is no open project, you can access this menu from the Welcome Screen (Customize | All settings):

This has now changed in the newer versions of PyCharm (I've got 2018.2). It's now called Preferences for New Projects: