Before the production started, there was a party, and many of the original Windmill girls attended. Bob Hoskins said it was remarkable; many of the women seemed to be older versions of the actresses.
According to the director, Judi Dench was always slightly nervous that they would edit her speeches, as she had learned them. During the 'sherry-sipping' party before the opening of the theatre, at two points, Thelma Barlow's character prompts her in her speech ("Bread line... Employment"). This wasn't in the script, but Stephen Frears thought it was funny so included it into the final cut.
In the scene were Van Damm and Mrs Henderson about the name Millettes (or Millerettes), it is all done in one continuous shot. Frears thought it better to 'stand back and let the actors interact'.
When Mrs. Henderson goes to visit the Lord Chamberlain for the first time, the room the scene was shot in was in a house on sale in London for £12 million.
The Lord Chamberlain refers to the groin as the 'Midlands', because Frears discovered that was what John Gielgud called the groin, and decided to add it in.
Many of the Windmill theatre scenes, such as the portraits, and the Native Americans, came from old photographs of the Old Windmill Theatre.
The 'mouse' story was true; indeed, Van Damm and the the Lord Chamberlain's office were constantly arguing over the amount of light displayed on the bodies of the girls.
When Mrs. Henderson is in bed talking to Lady Conway by telephone, we see it as a split screen. Frears achieved this by filming them simultaneously side by side.
The person in the bear costume who danced on stage actually was Judi Dench.
Many of the scenes from the war were taken from real-life documentaries by Humphrey Jennings.
Honeysuckle Weeks was offered a major role but declined because of the nudity involved.