Whilst filming at Longleat House in Wiltshire, Michael Hordern asked to get off the set early because there was a trout stream nearby and he was an experienced trout fisherman. Later that day, the cast and crew had a barbecue with the fish Hordern caught.
In order to create the effect of a 1906 street, the production built a facade of terrace houses in a bombed section of London near Columbia Road Flower Market. One day, director Richard Loncraine saw an old woman, who looked sad and upset, glancing at the houses. When asked, she responded, "My house came back". The woman maintained that the house was the one that she had been born in.
Michael Palin conceived of the film's original title "The Missionary Position" whilst he was jogging in the rain up Hampstead Heath. This title would originally be cut back to just "The Missionary" so as to "give less away".
Sets built for the film included a period gymnasium whilst a run-down British Rail fish terminal was converted into a film set for the bordello bawdy-house. The production also reconstructed streets in the East End of London to resemble the Edwardian era.
Four significant British buildings were used for filming. They were the private home Longleat House in Wiltshire; the Tudor manor Dorney Court; Highclere Castle in Hampshire and Ardverikie House in Badenoch, Scotland.
Reportedly, actor Michael Hordern lost his way in the labyrinthine passages of Wiltshire's private home Longleat, an action that was actually fitting of his forgetful absent-minded character of Slatterthwaite.
Some movie posters for this film featured a preamble that read: "When you have a fiancée, a lover and you have to lead 28 women of the night down the path of righteousness; you must pray for more than guidance, you must pray for strength. The Missionary. He gave his body to save their souls".
Around the time of the movie's release, Michael Palin once said of this film's African shoot: "Fortescue the missionary earned the dubious distinction of being the only part I've ever played whilst being covered by a man with a loaded rifle. This happened as I was being filmed passing as near as possible to a herd of elephants. Whether the game ranger intended to shoot me or the elephants I shall never know!"
Actor Michael Palin and director Richard Loncraine have said that they didn't succeed in achieving everything they wanted to with the film but though not perfect the movie itself turned out very well nonetheless.
DVD covers form a halo as the letter "O" in the film's "The Missionary" title. This type of gimmick had previously been long-known as being part of the promotional materials of the earlier The Saint (1962) TV series where the next-to-the-title Saint figure had a halo which would appear after the title was shown.