After the two horses that were blindfolded and forced to go over a cliff were killed, a new rule was enforced and later endorsed by The Humane Society of America in which strict standards were created to protect animals. Productions that met the standards of the Humane Society were allowed to add "No Animals Were Harmed or Injured in the Production of this Film" to the end credits. Eventually all the studios agreed that films involving any animals must have present a representative of The Humane Society to ensure that all animals are treated humanely and given a safe environment in which to work.
While shooting his role in the Ozarks, Lon Chaney Jr. fell off his horse during a chase and was trampled by the horse behind him. He was not injured badly--he managed to finish his scenes that day--but director Henry King blamed Chaney's nightly drinking for the mishap, fired him, and he was dropped by his studio (20th Century-Fox.)
This film and Stagecoach (1939) were both released in 1939 and became very influential westerns. That genre was considered to be box office poison at the time, but these two movies were so well received that westerns were again profitable to release.
Henry Fonda received a mild powder burn on his hand during the filming of this movie in Pineville, MO. Because of his lack of trust in small-town doctors, Fonda insisted on being taken to Kansas City (nearly 200 miles away) for treatment.
Train scenes where filmed at Jamestown, CA. The first scene was filmed from one end of the station with the train leaving, then filmed with the train "arriving" at Independence shot from the other end of the station. The train itself is easy to identify, with 4-4-2 "American" locomotive and three Harriman-style cars.
Lon Chaney Jr. can be spotted at 1hr 14min, right after the men exit the hideout leaving Jesse & Frank James to discuss things. Lon is the last one seen behind them, the tallest in their group. He doesn't appear to have a speaking part.