Sylvester Stallone, actually tore a muscle in his heart while filming the training sequence in which he lifts the sleigh that everybody was sitting in. Filming had to stop for two months so doctors could make sure that he healed properly and the chances for him having a heart attack would be reduced.

Some of the scenes during the fight with Drago were real. During the filming Dolph Lundgren (Drago) broke three of Sylvester Stallone's ribs while shooting the final fight scene.

The Russian landscape that is the setting for both Rocky and Drago's training was actually shot in Jackson Hole, Wyoming.