Most of principal photography was shot in 17 days around tour schedules at the Moss Mansion Historic Museum in Billings, Montana. Other locations include: Harper and Madison in downtown Billings (which doubled as the the cafe where Annie works), Riverfront Park (which featured the bridge from the epilogue), and the backwoods of director Shane Patrick McClurg's parents' horse ranch (the Harvey Benowitz scenes).
Because most of the furniture in the Moss Mansion are original historic pieces, none of the cast or crew could touch anything. Anytime anything so much as a curtain needed to be adjusted, a museum staff member had to do it. A couch was brought in from outside for the living room scenes and several other scenes were rewritten to avoid having to use furniture.
Originally Oswald was going to play the piano during his song. It was changed to a glockenspiel to avoid having to load such a heavy instrument to the second floor of the historic museum house.