Factual error: Hannay travels to Scotland on The Flying Scotsman which ran from London to Edinburgh, The Forth Road Bridge is actually 12km further West of the Port of Edinburgh, so Hannay couldn't jump off the Flying Scotsman onto the Forth Bridge.
The 39 Steps (1935)
1 factual error - chronological order
Directed by: Alfred Hitchcock
Starring: Robert Donat, Lucie Mannheim, Godfrey Tearle, Madeleine Carroll
Continuity mistake: Hannay is talking to the milkman inside the door. Outside the door you can see across the street, the two guys walking down the sidewalk. A moment later, Hannay goes toward the door and now there's the milk wagon on the street right in front of the door. When Hannay pointed out the two guys across the street to the milkman, the milk wagon wasn't there and the milkman is inside with Hannay so he couldn't have pulled it up.
Trivia: Director Alfred Hitchcock has a cameo role in this film - he is seen tossing some litter as Richard and Annabella run from the music hall.