Bill Murray was originally scheduled for three days of filming. He shot his entire role in a day and a half then stayed on in India for a month.
The train scenes were filmed inside a moving train travelling from Jodhpur to Jaisalmer and through the Thar desert. Nothing could be fixed to the ceiling, and filming equipment couldn't be more than a meter out of the windows. Writer and director Wes Anderson and production designer Mark Friedberg went to the Northwestern Railways company and told them they needed ten rail-cars and a locomotive, which they would redecorate entirely and then move around their railway. Northwestern Railways had never gotten such a request, and though it took a lot time and effort, it was eventually granted.