Although the film was co-produced by France and Italy, the filming location was neither in France nor in Italy, but in Spain. The film was mainly shot in three places in Spain.
One of the filming locations: a small town called Aranjuez, south of the Spanish capital Madrid, on the dry plateau in central Spain. The scene of Alain Delon riding a white horse in the desert in the title is shot here, and it is also where most of the plot takes place in the film.
The second filming location: Almería, in the Andalucía region of southern Spain. In the title of the film, Alain Delon walks on a white horse by the sea, and Colonel Huerta leads his cavalry to chase Zorro. Zorro is the filming location where the carriage fell into the sea.
The third shooting location: The Museo Cerralbo in Madrid, the capital of Spain, is the only remaining 19th-century palace in Madrid that maintains its original appearance. The museum is the former residence of the Earl of Serra in the 17th century and is the filming location of the Governor's Palace in the film.
