When Lee Marvin arrived on the set, in Helsinki, he was sent to the local hospital because of his long-time illness due to alcoholism. Director Michael Apted rehearsed with Marvin in the hospital bedroom.
The elaborate bath house in the movie was actually a Swedish health center in Stockholm that was apparently owned by ABBA at the time.
Gorky Park was portrayed by the Kaisaniemi Park in Helsinki, Finland.
Producer Howard W. Koch said of the making of this movie whilst doing press for the picture: "We couldn't even get into Russia to film it and I can't say any of us were surprised. But that's what makes it so special. We're chalking up a first here. Nobody ever made a modern thriller like this set in Russia. It's just a pity they don't like us doing it." Koch added: "They kept telling us 'There's no crime or corruption in Moscow'. But it's like any urban city in the world, of course there's crime. They just don't tell anyone about it. That's what you get with a closed society."
The KGB headquarters was represented by the main building of the University of Helsinki in Finland. Moscow's Militia headquarters was represented by the Helsinki Technical School.