Billy Fish acts as an interpreter for Daniel and Peachy to the people of Kafiristan. In fact, Billy speaks Urdu to the Kafiristanis and they reply in Moroccan Arabic, two entirely different languages (this is due to the fact the film was shot in Morocco and Moroccan extras were used).
In Rudyard Kipling's office at the beginning of the film, Peachy states that according to Herodotus (pronounced "Harry-odotus"), Alexander the Great defeated King Oxyartes and took Roxanna as his wife. Herodotus actually died about 70 years before Alexander was born, thus making him unable to recount facts about Alexander's life history.
The Kafiristanis worship idols and yet the prayers/religious chants they utter are standard Muslim prayers/religious chants. They clearly mention the name of Allah several times. Islam is a strictly monotheistic religion, being against the worship of idols.
At the end of the first battle, Daniel is wheeling on his horse as the enemy around him fall to the ground in fear, because he is seemingly unhurt by the arrow sticking out of his chest. But the arrow is not there in any of the long shots. It only reappears in Daniel's chest when he is shown in close-up.
When Peachy and Danny travel with the caravan into the Khyber Pass, all of the camels are Arabian (aka dromedaries), rather than Asian (Bactrian) beasts. This is not an error. Despite their names, both species are present and available in their domestic form in eastern Afghanistan, where the Khyber Pass is, and have been for centuries before the events of the movie take place.