Wallis Simpson was a patron of the Paris couture house of Madeleine Vionnet in the 1930's. Her original orders are still held in the company's archives, and recreations of four of those gowns were made by the fashion house for this film.
James Fox (King George V) and Laurence Fox (Prince Albert / King George VI) are father and son in real life. The former's elder brother Edward Fox had previously played King Edward VIII / the Duke of Windsor, the eldest son of King George V, in Edward & Mrs. Simpson (1978).
The jeweler Cartier made ten recreation of Wallis Simpson's jewels for the film, including her emerald engagement ring and the famous panther ring. While filming in Nice, another of these recreations, the cross bracelet, got dropped in the surf and was lost. The other pieces were returned to Cartier after filming and destroyed so as not to devalue the original, authentic pieces.
Madonna and costume designer Ariane Phillips drew on the former's friendship with John Galliano, the head of Christian Dior, to recreate Wallis Simpson's wardrobe. Simpson was famously a long-time patron of Dior.
Some real pieces from Cartier's and Van Cleef & Arpels' archives, usually reserved for exhibition, were loaned to the film. The Cartier pieces came from Switzerland, and each piece had its own handler and two security guards.