Factual error: The irons used to hold Jesse are actually bolted in too far. If they were that far in, the iron bar covering the front part would have to be hollow for however long the piece of iron is.
Other mistake: The camera shows Jesse's "Prison Train" as it comes down the main line and whistles. As the train approaches the camera the driver opens the cylinder cocks and you see the steam shooting out from the front of the locomotive, at ground level. The steam cocks are never opened on a steam locomotive in motion unless the boiler is too full. They are actually there to let condensate water drip out the cylinders while the locomotive is standing idle, and to help the cylinders warm up by blowing warm steam through them. The action shown is equivalent to driving a car on the highway with loose sparkplugs.
Continuity mistake: When Zee and the boys stop the train by shooting the train with a cannon, after the blast has dissipated we see the hole in the smoke box door. The camera zooms into the front corner of the locomotive as it derails and the wheels cut into the top of the railroad ties. There is a clear view of the locomotive's cylinder and the rounded top of the valve chest, showing that the locomotive has piston valves. But in earlier scenes when we see the locomotive pulling off from the depot, it has the characteristic (and correct for the era) square boxes on top of the cylinders showing that this locomotive has the older slide valve technology.
Continuity mistake: After Colin Farell left the band, and the Youngers first went to rob a bank, when they leave, they go to a shelter which has doors on both ends, right after they rode into it, the camera shows that they closed all doors, but when they shot to Scott Caan, at his back you can see they are just closing the back door.
Continuity mistake: When the Union Soldiers show up at Doc Mimms' house and Zee is hiding Jesse, after she gets up she puts her robe on and pulls her hair out of it. When she skips out of the room her hair is tucked back in her robe.
Continuity mistake: None of the guys in the James Younger gang seem to carry a shaving kit, but they are always clean shaven, or have a perfect 5:00 shadow. Also, they never change their clothes, but the clothes never get dirty or torn.