Alex Cox says on the commentary of the Criterion Collection DVD, that out of all the movies he's done, and despite the fact that this film had hurt his career as a Hollywood director, he believes that Walker (1987) is his best work.
This motion picture was predominantly filmed in the Central American country of the Republic of Nicaragua during the Contra War period.
According to the Turner Classic Movies website, the "film had the complete cooperation from the Sandanista Government, and the Nicaraguan Cinema Institute".
According to Alex Cox (at a post-premier showing in Berkeley, CA), while they were still in Nicaragua a Dutch news crew shot footage of people washing dead bodies in the street (the victims had been shot by Contras as they left a wedding). This footage was interspersed with the archival footage of Reagan during the closing credits.
According to the video Easter egg that can be found on the Criterion Collection DVD, when Alex Cox, Rudy Wurlitzer, and Lorenzo O'Brien first conceived the idea of Walker, they wanted to make a popular audience movie in the vein of Locura en el oeste (1974). But when they finished, Universal Pictures felt that it was too much of an art film and decided to shelve it. It would be 20 years before the film saw the light of day on DVD.