Revealing mistake: When Lotte and Maxine are hugging by the side of the New Jersey Turnpike at the end, the camera pans around them and you can see shadows of the cover and poles holding it to protect them from the rain.Also at one point a large amount of water falls down which obviously pours off the cover.
Plot hole: The timing in the film is way off. Given the hours when JM Inc is open, most of the people there would only get to be Malkovich while he was asleep (yes, films have late-night shootings, but not every night); and Craig and Maxine stay up the whole time, then mess with Malkovich afterwards, then get in for work the following morning without showing any sign of fatigue even though there are less than 2 hours left for sleep.
Revealing mistake: When Craig (in John) is doing his dance of 'Despair and Disillusion' you can see the stunt double several times. The most blatant are when he jumps to the wall and lands in a press-up, when he does a forward roll, when he backflips and also when he slides against the wall at the end of the dance.
Continuity mistake: When Cameron Diaz is in the portal and Maxine is on top of John Malkovich on the couch, they keep on switching shots. One shot shows Maxine and John Malkovich and the couch, while the other is Diaz's view from inside Malkovich. The straps on Maxine's top are over her shoulder from Diaz's view, but they have slid down her arm from the other camera shot.
Continuity mistake: When John Malkovich goes into his own portal he suddenly is in a restaurant filled with himself. If you look closely you can easily see that instead of carefully using computer graphics and superimposing his head on all the other bodies they just used extras. They got lazy and it is very easily seen that many of the Malkovich's are just older men that are balding and have grey and dark hair.
Continuity mistake: When Maxine and JM make love the second time he realizes that someone else is inside him. When he confronts her she is sitting on a sofa, her blouse partly buttoned and one leg over a pillow. When the camera angle changes her blouse is totally unbuttoned and the pillow is on her lap.