Continuity mistake: Towards the end, right before the shootout, the hole in Harmonica's shoulder is suddenly gone altogether.
Visible crew/equipment: When Fonda and his men leave the train on horseback, after capturing Harmonica guy, the whole ground is covered with automobile tire tracks. (01:29:36)
Other mistake: When Claudia Cardinale first gets off the train station clock has the time as 7:55. When she looks at her watch the time on it is around 10:10.
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.