Continuity mistake: When they are dancing the king's earring is on his left ear then it somehow jumps across to the other ear.
Continuity mistake: When the King is lying on his death bed, Anna enters with her hair in a plain bun with a frilly hat on her head. When she comes over to kneel by the king as he is dying, her bun is covered with a black snood, which magically appears even though she never left the room.
Continuity mistake: When Anna meets the King's children for the first time, she is handed a pink rose which she tucks into her belt. When she visibly changes her mind about leaving and walks towards all the children with her hands out, the rose is gone. Next shot, it's tucked back into her belt again.
Factual error: When speaking to a member of the the Royal Family in Siam (modern day Thailand), one have to speak "rachasap" or Royal Thai. The movie depicts characters speaking colloquial Thai to the King.