Director and screenwriter Todd Haynes decided that every scene should be from Mildred's perspective, and so required Kate Winslet to be in every single scene of the five hour miniseries. Winslet has publicly stated that this was her hardest shoot (around 18 weeks on set) since Titanic (1997).
The story takes place in Los Angeles, but was shot in New York, and because of an unusually chilly spring, palm trees on the set had to be kept from wilting by being heated in a greenhouse.