Factual error: Tonto explains to a boy how he showed two men the location of rich silver deposits in exchange for a cheap watch from Sears Roebuck. The scene is to have taken place when Tonto was child, which would be several years prior to 1869, when Tonto was an adult. However, Sears Robuck was not founded until 1886, many years after the story could have taken place.
Continuity mistake: At the start of the train chase the woman falls off the side of the steam engine - it cuts to the bad guy standing at the front on the cow catcher and he shouts "get me close." The other bad guy speeds up the train - it cuts to Tonto looking at the train and we see the bad guy climbing down onto the cow catcher, despite already standing on it in the earlier shot.
Other mistake: When the Lone Ranger is on the roof of the train he shoots at Fuller, who is uncoupling the carriages. He looks back at the train and shouts something - at this point the two trains are on a bend and The Lone Ranger is just coming into view, making his shot at Fuller impossible.
Continuity mistake: At the end of the film when the train crashes off the bridge, the bad guy is dragged down underwater with the freight wagons and drowns. The water is shown to be very deep, but when Tonto looks over the edge we can see the steam locomotive and coaches only half submerged in the river, indicating that it's not that deep.