The flashback to Gordon (Robert Duvall) failing to save his wife from a burning house was shot north of Brule, Nebraska, with the help of the local volunteer fire department. Duvall's wife was played by Director Francis Ford Coppola's wife, Eleanor Coppola (uncredited).
The parade scene was filmed in Chattanooga, Tennessee, on Veterans' Day. The students in the band were not aware of what was happening. In fact, you can read the lips of a majorette asking "Who was that guy?" as James Caan was weaving through the parade.
Much of this film was shot in and around Ogallala, Nebraska. Some landmarks visible in this film remain in the area, especially Front Street, a tourist attraction visible behind Shirley Knight as she stands in the phone booth (that booth was removed in the 1990s).
George Lucas visited the set while finishing film school, having heard that Francis Ford Coppola, a fellow film school graduate, was directing. The two struck up a fast friendship and became frequent collaborators during the 1970s, and again in the 1980s with Tucker: The Man and His Dream (1988).
According to the official advertising, this movie was filmed in eighteen U.S. States, and completely photographed "on the road" using vans for transportation. Francis Ford Coppola used a similar production process to shoot Youth Without Youth (2007), with his own equipment at various locations, mostly in Romania.