For a distinctive look, Robert Altman and Vilmos Zsigmond chose to "flash" (pre-fog) the film negative before its eventual exposure, as well as use a number of filters on the cameras, rather than manipulate the film in post-production; in this way the studio could not force him to change the film's look to something less distinctive. However, this was not done for the final 20 minutes of the picture, as Altman wanted the danger to McCabe to be as realistic as possible. Note the change when McCabe wakes up, grabs a shotgun, and starts off to the church.
At the beginning of the film, there is a shot of McCabe lighting a cigar before crossing the bridge. According to Robert Altman, Stanley Kubrick loved that shot and called him up asking him: "How did you know you had it?"
During post-production on this film, Robert Altman was having a difficult time finding a proper musical score, until he attended a party where the album "Songs of Leonard Cohen" was playing and noticed that several songs from the album seemed to fit in with the overall mood and themes of the movie. Cohen, who had been a fan of Altman's previous film, Brewster McCloud (1970), allowed him to use three songs from the album - "The Stranger Song", "Sisters of Mercy" and "Winter Lady" - although Altman was dismayed when Cohen later admitted that he didn't like the movie. A year later, Altman received a phone call from Cohen, who told him that he changed his mind after re-watching the movie with an audience and now loved it.
Warren Beatty loved to perform multiple takes of his scenes. Once, when Altman was ready to wrap shooting for the day, Beatty insisted on more takes. Altman left and had his assistant shoot them and Beatty did over thirty takes of the scene. Altman got his revenge by ordering Beatty to do 25 takes of a scene involving Beatty in the snow.
The steam engine used for Mrs Miller's arrival is genuine and functioning and the crew used it to power the lumbermill after its arrival.