The climactic fight scene was filmed in the Ukraine. It snowed so early (October) that it caught the filmmakers by surprise, as they had already started filming. They decided to change the script and the movie so that it would appear almost as if this epic battle began during the fall and ended during winter. Yimou Zhang was very happy with how it turned out because it set the perfect tone and obviously highlighted the blood spilled on the snow.
The song that Mei sings that begins with, "A Rare Beauty in the North" is actually an ancient poem set to music. It was written by the brother of an Imperial Concubine about his sister. Meant as a cautionary tale to the Emperor about overindulgence in female beauty at the same time it acknowledged the lasting hurt of a powerful love.
Ziyi Zhang is not actually a trained martial artist, despite having been in many martial arts films. She is however a skilled dancer (joined the Beijing Dance Academy at age 11), like her character here, so she uses many dance moves in her fight sequences.
This was originally going to be Anita Mui's final appearance in film and she had already accepted the role but, because she was battling cervical cancer, her part wasn't going to be filmed until early 2004. After her death on 30 December 2003, director Yimou Zhang decided to alter the script rather than find a replacement. Anita's name will still be listed in the credits.
Concerned that Western audiences would not be able to tell Andy Lau and Takeshi Kaneshiro's apart in the beginning of the film as they are dressed similarly, Yimou Zhang had Kaneshiro's character eat peanuts throughout many of the opening scenes to distinguish them.
Director Yimou Zhang has said that he will rewrite the screenplay to remove Anita Mui's character following the veteran star's death. This is meant to be a sign of respect for Mui. It was earlier reported that Michelle Yeoh or Brigitte Lin would be cast instead.