With the exception of Ginny and Humpty's apartment, the movie was shot entirely on location at Coney Island. Many of the existing businesses were altered to resemble shops or restaurants from the 1950s.
The title, Wonder Wheel, in addition to referring to the Coney Island Ferris Wheel, is metaphorical for the characters' behaviors and mindsets. When describing the title, Woody Allen stated "The view is beautiful from the Wonder Wheel, but you're going no place. It has an element of romance to it, an element of beauty to it, but ultimately, an element of futility."
Cinematographer Vittorio Storaro took inspiration from the Coney Island paintings of artist Reginald Marsh in creating the look for the film.
Many of the costumes worn by the extras were original era garments gathered by costume designer Suzy Benzinger.
Set on Coney Island in the 1950s, the Wonder Wheel is still in operation, but the Parachute Drop, seen in the background, ceased operation in 1964 and survives only as a tower. It's nicknamed the Eiffel Tower of Brooklyn.