Plot hole: It's funny that Doc McCoy's special sniper ammunition for his Buntline can be found in various other locations even though he says in his tutorial that he crafts these bullets himself.
Factual error: Notwithstanding their common use as explosives, gun powder, dynamite and TNT are basically unrelated substances, even though the barrels and dynamite sticks are often referred to as TNT in the game.
Factual error: The Gatling guns used in the game feature not an arrangement of multiple barrels around a central axis, but one singular barrel in a tubular jacket typical for water-cooled machine guns (in fact, they look much like M1917 Browning machine guns), and a side-mounted ammunition box for belt-feeding; in mechanical Gatlings gravity-feeding systems like a hopper were used. Also, because mechanical Gatlings as they were used in the American West required manual operation by a crank, it would be realistically impossible for Sanchez to fire it and keep it stable at the same time while it is removed from its bracings.
Continuity mistake: In the opening scene of Level 10 (Sanchez' fortress), Sanchez tosses a stone after his lieutenant Pedro, which lands in front of the barracks under the water tower. Later on, in Sanchez' tutorial (Level 14), however, Sanchez finds the same stone - he recognizes it - right in front of his fortress' gate.