The twice-used shot of the train rounding a curve is actually near Rabbit Bridge on the Great Central steam railway near Loughborough. The train is in fact heading South; according to the film, it is first heading West (Cambridge to Bletchley), then North (Bletchley to Manchester). The same locomotive is hauling both trains - unlikely - and is suspiciously clean for wartime. However, it was a masterful touch to dub in a passing steam train as background noise when the security man interviewed Jericho in his digs. Such background noise is often conspicuously absent in films. See more...
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Continuity: In the scenes in Bletchley (south of England) it is obviously early Spring (daffodils, few leaves on trees), but towards the end of the film, and apparently only a few days later, when a German U boat surfaces off the coast of Scotland, it is clearly high summer, with all the trees covered in leaves. Trees don't come into leaf that quickly, and the seasons are always later in Scotland.
Plot hole: When the police search the white car and the barn they fail to find the compartment in the car behind the boot in which the decoding equipment was hidden. This is completely improbable. It was a standard car, the compartment was not a secret add on, and the police were supposed to undertake a thorough search of everything.
Continuity: In the scene in Scotland where Puck is rendezvousing with the German submarine whilst being watched by the British security services and police, there are several shots of the sub through binoculars supposedly from the perspective of the British on top of a hill. These views are all (with the exception of the last one of Puck meeting the sub) from sea level.