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Anachronisms 

Though the story appears to take place in 1939, albeit a fictionalized one, Polly makes reference, while describing the career of a missing scientist, to his work prior to "World War One". Before the onset of World War Two, no reference to which is made in the film, it would have been called "the Great War".
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(At 23:00) As Joe is laying down the ground rules to Polly, she sneaks a photo behind her back. The pennies on her charm bracelet are both the wheat cent and the Lincoln memorial type. The movie is set in 1939, but the Lincoln memorial cent was not produced until 1959.
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Although the movie is supposed to be set in 1939, in New York City a movie theater marquee advertises the film "Kings Row" which was not released until 1942.
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One of the German newspapers shows a story placed in a nowadays edition of Frankfurter Allgemeine Zeitung (clearly recognizable by its unique typeface and the letters "FAZ" at the beginning of a story). Some of the FAZ stories deal with German financial/social politics during the government of Gerhard Schroeder (in office 1998-2005).
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Audio/visual unsynchronised 

In the underwater scene where Joe's "submarine plane" is forced backwards, it makes a sound like an airplane flying through the air.
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When on his P-40 plane, Joe and Polly are not wearing headsets. Wind on the fuselage, vibration and engine noise would make it impossible to talk to control tower and they'd have to scream to be heard inside the plane. Yet they speak normally, as if they were sitting in their living room.
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Character error 

Polly is shocked when she wakes up in bed naked with Joe. But she doesn't react at all to seeing Kaji in the bed as well.
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The German rocket's display showing its height contains two spelling mistakes: "VERSTARKER" (booster, amplifier) should be written with A-umlaut and the plural of kilometer is simply kilometer, without s at the end.
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In the scene where Joe and Frankie are talking to each other by radio from their "submarine planes," a buzz indicates that its a one way transmission and that they can only speak to each other one at a time. However, a moment later they both say "Protect the rabbits" at the same time.
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Joe constantly wears goggles while piloting his plane. In fact pilots of the era were trained to lower their goggles when going into combat to preclude glass or perspex slivers from bullet hits on their canopies from getting into their eyes.
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Continuity 

The first newspaper shown reports the Hindenburg III docking at the Empire State Building on October 6th, 1939. But in shots of the newspapers shown during the montage after the first attack by the robots, you can clearly see the date of publication was March 15th, 1939. And later, Polly says that the current date is March 2nd.
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When Sky Captain and Polly are running across the log bridge, he fires a 1911-style semiautomatic pistol at one of the birds. When he falls and drops the gun, it's the revolver he used against the robots earlier in the film.
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The bones of the doctor who was burned to the bones before Totenkopf's message are gone when the camera zooms in at the steel walkway.
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In the sequence where the winged robots attack on the military base, Sky Captain chases the lead robot. During his pursuit, he flies his P-40 airplane over an exploding Zeppelin. He is clearly flying above the fiery Zeppelin in one shot, but in the next shot, the P-40 appears to be below the zeppelin.
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When Polly reaches for her camera on the tree log, Joe grabs her right hand and the camera is in her left. In the next shot, he's holding her left hand and the camera is in her right hand.
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Factual errors 

On board the Hindenburg III, Doctor Vargas asks the boy (in German) "Könnten Sie mir bitte versichern, dass dieses Packet überreicht wird". The subtitles translate this as "This parcel must be delivered the moment we reach port". In fact, the correct translation of the German is "Could you please assure me that this parcel will be delivered".
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Incorrectly regarded as goofs 

The movie is plainly set in an "alternative" reality, so apparent errors of history and geography can be discounted. We don't know how many World Wars there have been in their reality, nor when films, etc, were released.
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When Joe's plane dives into the sea and converts into a submarine, the force of impact with the water would have surely sheered the wings off of a normal P-40. However, as the plane is obviously been made watertight, as well as fitted with sonar, precautions must have also been made to brace the wings from impact.
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Revealing mistakes 

When Polly Perkins first exits the theater after meeting with the scientist, there are duplicates of the people in the crowd around her.
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When the destroyed robot is delivered to the Sky Captain's base, we can see that CGI trucks carrying the robot have no drivers.
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When Frankie ejects from her plane underwater, no rush of air bubbles escape the cockpit.
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In the main hangar of Sky Captain's hideout, all the window panes show the exact same damage.
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When Dex first tests his ray gun, the reflection of the beams in his goggles travel in the wrong direction.
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At one point in the film, Polly takes a flash picture, but her camera contains no flash attachment.
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Headlines in German newspaper shown after the attack of the robots is full of errors. Main headline is "Sehr Grosse Metallc Maschinen Stehlen Stehlen Reserven" which translates to "Very Big Metallk Machines Steal Steal Reserves". Another headline says "Schlechten Desends Nach Landscape" which means "Bad ??? On Landscape" (the word "Desends" means nothing in German). Furthermore, only the first word and nouns are capitalized in German headlines. This line was probably to mean "Evil Descends to the Land" in which case it should appear as "Das Übel kommt über das Land". The same goes for Russian newspaper that is titled "Voice People's" and shows headline full of semantical and grammatical errors ("Gigantic Metallic Nation's Reserves Steals Machines Coal, Oil and Uranium. National Leader Attempt To Protect Reserves").
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After the P-40 surfaces on Totenkopf's island, Polly sees the plane's registration "h-11-od" reflected in the water and it reads "po-ll-y". However a reflection flips the image upside down (like "y-ll-oq"), it does not rotate it 180 degrees.
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During the scenes in Nepal, none of the actors breath is visible, despite the apparently freezing conditions.
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Spoilers 

The goofs below may give away important plot points.

Character error 

On a camera like Polly's, accidentally leaving the lens cap on doesn't mean you've wasted the film. When she blew her shot of Joe at the end of the movie, she could have simply removed the lens cap, cocked the shutter, and tried again.
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Incorrectly regarded as goofs 

Towards the end of the movie, under normal circumstances the g-forces from the rocket's high speed would cause it to be almost impossible to move as easily as Joe and Polly do. However, Totenkopf has invented anti-gravity devices, as is evidenced by the robots in the beginning of the movie. Therefore he may have created the rocket with some form of g-force protection to protect the animals inside.
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Incorrectly regarded as goofs 

At the end of the movie, when Polly lifts her camera to take a
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Revealing mistakes 

When Franky gives the order to take the mobile
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