The idea behind making the film actually came about when Lawrence Bender was scouting locations for Quentin Tarantino's Reservoir Dogs - Wilde Hunde (1992). Bender found a great bank in downtown Los Angeles and informed Tarantino, who said that although the location was no good for Dogs, it would be good for a film set in a bank. Bender called every screenwriter he knew, asking if they had any scripts set in a bank. Roger Avary lied and said he did, then furiously wrote the first draft in under two weeks
Tom Savini did the makeup effects as a favor to Roger Avary. The burn effects on the bank guard done using only Vaseline, paint, and toilet paper.
Although the film's set is suposed to be Paris, it was entirely shot in L.A. The crew just shot the first and the final road sequences in the city of Paris.
Roger Avary shares his friend Quentin Tarantino's disdain for film schools. "Killing Zoe never would have happened had I stayed in film school," he says. "I went to film school for a while, and it was just a bunch of kids who's parents were paying for everything and decided on film because it was easier than med school. Nobody had any passion. The people with passion are all in the video stores. That's where Quentin and I got started, that's where we saw great movies that nobody else saw, and noticed the kinds of films people did see. If I had stayed in film school, I wouldn't have even attempted half of what I did with Killing Zoe. You can only do that sort of thing when you don't know nobody else ever has."
The animated musical notes were drawn by an old Looney Tunes artist.