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. (00:02:40)
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. (00:26:15)
Continuity mistake: After Jill's arrival at the train station she leaves by cart. The way the luggage is piled on back changes totally when they go through Monument Valley. There are reasons to believe that it's a different cart as also the horses seem to change (check the mane which changes colors and sometimes falls to the left, sometimes to the right). (00:29:00)
Continuity mistake: On the way to Sweetwater the cart goes through Monument Valley. There, the very long shadows of the cart and the rocks don't match the time Jill has left the station (some time after 10). A bit later, when they pass the construction site, the shadows are short and more fitting for the time of the day again. (00:29:00)
Continuity mistake: The whole scene in the post station takes about 12 minutes. During this time the bartender finishes his cigar almost completely, a task that takes at least 45 minutes if you smoke fast. In the very last shot the cigar is again much longer but half hidden in the hand, apparently to make it look shorter. (00:32:20 - 00:44:00)
Continuity mistake: The bullet hole in Harmonica's jacket changes size, shape, and degree of bloodiness during the scene at the post station. (00:36:35 - 00:42:45)
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. (00:42:10)
Continuity mistake: When Jill arrives at the McBain killing scene a close-up shows her looking in shock at the corpses. There are long, untidy strands of hair hanging down from both temples. When she gets off the cart, only the hair on the right side is loose. (00:45:20)
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. (00:57:50)
Continuity mistake: When Harmonica shows up at Sweetwater, the bullet hole in his jacket that he received at the station is gone (gone, not mended.). (01:13:00)
Continuity mistake: In the scene where Cheyenne shoots a man through his boot the curtains at the top the window are happily moving in the wind, but when we see them from outside they are almost still. (01:28:50)
Continuity mistake: Cheyenne shoots a man through the tip of his boot. When we see the boot next, that is a little later when he and Harmonica check the station construction site, both his boots are intact. (01:28:50 - 01:34:20)
Continuity mistake: In the train shoot-out Cheyenne shoots a man through his boot. When the boot appears first in the window it has a round tip, but when the gun goes off the tip is flat, as if it were pressed against the glass, only that the window has no glass. (01:28:50)
Continuity mistake: When Frank comes to the train to find all his men dead there's one of them in something like a kowtow position with his hands reaching back. When he is seen from the other side the hands are in front. (02:07:25)
Continuity mistake: During the shoot-out between Harmonica and Frank lengths and directions of both opponents' shadows keep changing, e.g. when Frank drops his jacket. (02:17:40)
Continuity mistake: During the last flashback that reveals Harmonica's issue with Frank and the significance of the harmonica, the harmonica in the boy's mouth is sometimes dented, sometimes not. (02:22:00)
Continuity mistake: At the end of the movie when Cheyenne is shaving, while Harmonica and Frank are having their shoot-out, he cuts himself at the sound of the gunshots. When Jill tells him that he is a handsome man the cut is gone. (02:22:25)
Continuity mistake: In the final shootout, Frank slumps to the ground and Harmonica approaches him. Harmonica has the instrument in his left breast pocket attached to a cord around his neck. He pulls the instrument from the cord quite forcibly causing the cord to whiplash back and lie on his left shoulder. The camera then switches to Frank having the instrument forced into his mouth and then Harmonica comes back into view. The cord is now missing.
Continuity mistake: Towards the end, right before the shootout, the hole in Harmonica's shoulder is suddenly gone altogether.
Answer: The movie was filmed at multiple locations in Spain and Italy, and also in Utah. Chances are they filmed out of sequence and made minor changes to the script later in the movie. There are many things left unclear in the movie, for example the same scene at the cantina/store, just after Cheyenne's crew shows up, he refers to Harmonica by his name when no-one said his name up until that point.