When McCloud goes to Jennie's apartment, it is located in the basement of the building. However, the view out of her studio windows are from location several stories up.
In a couple of scenes, Mastin is clean-shaven, whereas most of the time he has a thick mustache. It certainly couldn't be grown back in the time available. (The mustache looks very unconvincing, and could be deliberately meant to be false, resolving the continuity problem, but it is never revealed as such).
When McCloud is talking with Devlin in the "Mexican village", it appears to be raining in the background, but the other side of the plaza (behind McCloud) is in bright sunshine.