Continuity mistake: When Frank's henchmen wait for Harmonica at the train station it's very windy. For example, you see the wires of the telegraph machine moving, and a string that's dangling in the window behind it is swaying wildly. Only in two shots, when the station agent gets locked up, the wires and the string are absolutely still, to start moving as before in the next shot. Desert wind wouldn't stop completely just for a few seconds.
Continuity mistake: When Harmonica tells Cheyenne about the three men he killed at the train station, he is sipping from a cup. He is holding the cup in both hands with his fingertips touching, but in the last shot he is holding the cup by the handle. It's theoretically possible but looks wrong.
Continuity mistake: Jill's arrival by train is quite badly edited: When she gets off, two porters carry her luggage to the station building. She looks at the station clock which shows 7:55, then down at her watch wich shows 10:10. This may indicate how the time has passed, but it looks strange. In the last shot her luggage is back at the tracks, and the porters pick it up again.
Continuity mistake: When Jill attempts to leave Sweetwater for the first time her hair is combed out of her forehead, enhancing its striking beauty. When she opens the door, only to face Cheyenne and his men, the wind blows her hair even further back, but when the camera cuts to outside the wind is coming from behind, blowing her hair over her face.
Plot hole: On her first night alone on the McBain farm, Jill hears someone playing a harmonica out there in the dark. She blows out a candle (but there is still plenty of light in the room), grabs a gun, positions herself at the brightly lit window, and shoots when the sees tha harmonica player lighting a match. This behavior is way too foolish for a women depicted as street-smart as Jill.
Audio problem: In the last shot of the shoot-out scene at the station, we see Harmonica's carrier bag in the extreme foreground, and windmill in the extreme background. The windmill has stopped, but you still hear the wind blowing, and a few seconds before you have heard the squeaking pump.