As this was one of Marilyn Monroe's first starring roles, she was still under an acting coach and wanted her on the set to help her in scenes. She would stand behind director Fritz Lang and tell her when a scene was good enough, as opposed to listening to Lang, and when the director saw what was going on he got furious and demanded she leave the set (at the time this coach also worked for 20th Century Fox). After Monroe complained and wouldn't act without her, Lang allowed the coach to return to the set, on the condition that she not direct Monroe.
This movie was shot while Barbara Stanwyck was in the process of divorcing Robert Taylor. The movie also featured the rising young star Marilyn Monroe. Barbara gave a good performance in one of her most memorable films. Despite her emotional devastation, the crew noted Barbara's lack of a diva tantrum, Fritz Lang later said, "She's fantastic, unbelievable, and I liked her tremendously. When Marilyn missed her lines---which she did constantly---Barbara never said a word."
When Mae and Jerry are in the movies, Mae tells him "this is where we came in" and they walk out. It was common before the 1960s for viewers to walk in during a picture, watch it till the end and then wait for the picture to play again and leave when it gets to the part they came into the theater.