Johnny Depp adopted Goldeneye, the horse that played Gunpowder, Ichabod Crane's horse in this film, when he heard it was going to be put down.
The idea of The Headless Horsemen actually dates back to the Middle Ages in Europe, largely in Celtic and German folklore. While Washington Irving's horseman can be considered the most famous, most areas of the United States during the time of the story's publishing had their own stories of headless horsemen. Irving's is said to be inspired by the headless body of a Hessian Jägers (renowned sharpshooters and horsemen), who was found in Sleepy Hollow. The real Van Tassels buried him in Old Dutch Burying Ground in an unmarked grave.
Johnny Depp did all of his own stunts for the final scene where he is dragged by the horse. He had bullet-proof clothing underneath his wardrobe.
Johnny Depp initially found the idea of Christina Ricci being his love interest in this film to be rather odd, seeing as he's known her since she was nine years old. They first met on the set of Mermaids (1990), as Depp was dating Winona Ryder at the time.
Christina Ricci revealed on The Rosie O'Donnell Show (1996) that Christopher Walken was very shy and quiet so the other cast members had a competition over who could get him to say the most words. Miranda Richardson won by making him answer lots of questions.