Inspired by Orlando Figes' 2002 production of Natasha's Dance, Joe Wright adopted an experimental approach to convey the essence of the story. The majority of the film was shot on a run down theater built from scratch in Shepperton. Locations such as skating rink, train station, horse stables were dressed on top of the theater. To create fluid linearity, doors are used to lead to Russian landscapes or some actors will walk from one set to another set under the stage. For cutaway wide exterior shots, toy trains and doll houses were used for filming. The only main cast member who is allowed to be venture out of the theater is Domhnall Gleeson (Levin) because Wright wanted to amplify the fact that Levin is the only authentic character in the group that reflects with the real world.
The soundtrack for several of the country scenes makes use of a Russian folk song that was also adapted (but without the words) by Tchaikovsky in his Fourth Symphony, written in the same period as was Tolstoy's novel.
The song that Masha ('Tannishtha Chatterjee') hums and sings when she and Kitty are taking care of Nikolai is a Bengali (a language spoken in Bangladesh and the West Bengal part of India) lullaby. Tannishtha Chatterjee is in fact a Bengali.
(at around 32 mins) While Anna is traveling on a train she was reading a book which was supposed to be in Russian. However, the word that appeared on the screen was in Hungarian "olajfestmény" meaning oil painting.
The movie opens in "1875 Imperial Russia". A few minutes later, a self-propelled model train is seen in action. Clockwork model trains were first introduced by the pioneering German toy company Marklin in 1891.
The label of the bottle of morphine Anna drinks from changes from "la Morphine" to "Morphine" between shots. The only correct French form would be without an article (prescriptions would have been written in Latin in 19th-century Russia anyway).