Among the most challenging sequences to film was the conversation on board a steam locomotive making short runs at at the Tennessee Valley Railroad Museum. In order to maintain continuity, the cast and crew had to shift to opposite sides of the coach every 30 minutes (when the train would reverse its direction), whle trying to compensate for changes in speed, weather conditions and background noise.

Two weeks before shooting was to occur in an abandoned mental hospital built circa 1910, the city government suddenly withdrew permission to shoot there, since the title of the film, "might offend certain elected officials." Producer Tracy Martin quickly located a vacant warehouse, and a network of sets were rapidly designed, constructed and decorated so that filming could continue as planned. Afterward, a working title of The Cure was adopted so that filming could proceed in other locations without raising unnecessary suspicion.

Director of photography David Bruckner secured himself to a warehouse rafter with a steel cable (30 feet above the ground) in order to shoot an overhead view of a scene in which a man fantasizes about being stabbed to death by two women—a scene that, much to his chagrin, does not appear in the final cut.