Not only was Veronica Lake pregnant during the making of this movie, she was between six and eight months pregnant. Production took place from June 12 to July 22 1941, and her daughter Elaine Detlie was born on August 21, 1941. The only other people involved in the production who knew of her condition were the costume designer, Edith Head, and Louise Sturges, wife of Preston. Miss Head designed costumes to hide the condition. Miss Lake was afraid that she would not be allowed to make the movie if her advanced state of pregnancy was revealed, owing to the physical demands of the role.
Cinematographer John Seitz admired Preston Sturges unconventional approach to his work. The opening scene comprised ten pages of dialogue to cover about four and a half minutes of screen time. It was scheduled for two complete days of shooting. On the morning of the first day, Seitz found Sturges inspecting the set with a viewfinder, looking for where he could cut the scene and change camera set-ups. Seitz dared him to do it all in one take. Never one to refuse a dare, Sturges took him up on it, although the nervous Seitz had never attempted to complete a two-day work schedule in one day. With the endorsement of McCrea and the rest of the actors, Sturges pressed on, determined to set a record. The first take was fine, but the camera wobbled a little in the tracking shot following the men from screening room to office, so they tried again. They did two or three takes at the most and that was it - two full days work by 11 a.m. on the first day, a feat that had the entire studio buzzing.
Reportedly, Preston Sturges got the idea for the movie from stories of John Garfield living the life of a hobo, riding freight trains and hitchhiking his way cross-country for a short period in the 1930s.
Joel McCrea credited Preston Sturges with instilling confidence and treating him as if he were a bigger star than Clark Gable. "I have to say the money I got for it was unnecessary," McCrea said later in life. "I don't know any other director where I had so much fun. I really felt like I'd do it for nothing."
The film's opening dedication, "To the memory of those who made us laugh: the motley mountebanks, the clowns, the buffoons, in all times and nations, whose efforts have lightened our burden a little, this picture is affectionately dedicated." with the added phrase "...in this cockeyed caravan..." was initially to be spoken by Joel McCrea in an epilogue as if it was to be the prologue for the comedy he intended to make. In the original script the prologue Preston Sturges initially wrote was, "This is the story of a man who wanted to wash an elephant. The elephant darn near ruined him."
Anthony Mann was Preston Sturges assistant on the film. He recalled, "I'd stage a scene and he'd tell me how lousy it was. Then I watched the editing, and I was able to gradually build up knowledge. Preston insisted I make a film as soon as possible. He said it's better to have done something bad than to have done nothing."
The U.S. government's World War II Office of Censorship in New York formally disapproved exporting this film during wartime because of the "long sequence showing life in a prison chain gang which is most objectionable because of the brutality and inhumanity with which the prisoners are treated." This disapproval conformed with the department's policy of not exporting any film that could be turned into enemy propaganda. The department suggested deletions which would have made the picture acceptable under their guidelines; however, the producers declined this opportunity.
Joel McCrea and Veronica Lake did not get along during filming. McCrea subsequently turned down the lead role in I Married a Witch (1942) because he did not want to work with Lake again. They did, however, appear together again in Ramrod (1947).
The studio boss Mr. LeBrand seems to be based on Sturges' champion at Paramount, production chief William LeBaron; LeBrand's acidic right-hand man Mr. Hadrian seems to be based on Paramount executive producer B. G. "Buddy" DeSylva, who took over as production chief from LeBaron the year Sullivan's Travels was released. The actors in these roles, Robert Warwick and Porter Hall, resemble the two producers. As implied by the scene, Sturges the director had a lot more difficulty working for DeSylva without LeBaron to run interference. DeSylva so infuriated the director by trying to recast and re-cut his films that Sturges finally quit the studio; after a disastrous preview of DeSylva's cut of his final Paramount picture, Sturges returned at no salary to re-cut and re-shoot Hail the Conquering Hero.