Before filming the scene where Robert Donat and Madeleine Carroll run through the countryside, Alfred Hitchcock handcuffed them together and pretended for several hours to have lost the key in order to put them in the right frame of mind for such a situation.
The 62 imported sheep, upon arriving at the sound stage, immediately went to work on the bracken and bushes that had been brought with them. The infuriated crew had to replace the real plants with ones hastily bought from a local nursery.
The bridge on which the train stops to search for Hannay (25 minutes from the start of the film), is the famous railway bridge over the river Firth of Forth, build from 1884 till 1889. It was then one of the most complicated works of engineering craftsmanship. It spans 2,5 km.
During a private screening Alfred Hitchcock asked John Buchan, whose original plot had been used only very loosely, what he thought of the movie so far. Buchan replied: "Fascinating! I wonder how it will end".
In a 1985 interview, Peggy Ashcroft said, "My part took only four days to do . . . [Alfred Hitchcock was] enormous fun. One laughed a great deal with Hitchcock. I've been told by other people that he wasn't always kind. I found him very kind".
The failure of the original copyright holder to renew the film's copyright resulted in it falling into public domain, meaning that virtually anyone could duplicate and sell a VHS/DVD copy of the film. Therefore, many of the versions of this film available on the market are either severely (and usually badly) edited and/or of extremely poor quality, having been duplicated from second- or third-generation (or more) copies of the film.
The scene at the farm, at 30:00 from the start, bears a striking resemblance to the first scene of the opera "Die Walküre" by Richard Wagner. Alfred Hitchcock must have seen the opera, because there are common elements to both scenes: the unhappy farmer's wife, the suspicious husband, the newcomer, the glimpsing over the table back and forth, the sexual tension.
Robert Donat suffered from an illness that would cause him to shake and tremble, meaning that the actor would often fight against having to do long takes. Nevertheless, the scene where he has to make an impromptu speech to a paying crowd shows that he was able to mask this ailment.
Though it follows the general outline of John Buchan's book and captures much of its spirit, this movie version often diverges from the printed one. In the book, the Robert Donat character has a South African background. Here, he's Canadian. The book has no female heroine. The Madeleine Carroll character was added to the movie to provide a romantic interest, apparently in hopes of making the story more appealing to female patrons. There are no scenes in a music hall in the book and thus no "Mr. Memory" character. The explanation this character gives for the term "39 Steps" is different from that provided in the book.