Dorothy Dell and Shirley Temple became good friends while filming this movie. When Dell died in a car crash shortly after the movie was completed, Temple was shielded from the news for as long as possible.
Adolphe Menjou was having difficulty with a particular line in the script. After the prompting of others on the set, Shirley Temple turned to director Alexander Hall and asked, "Is it too late to replace Mr. Menjou on this picture?"
Shirley Temple was nervous about filming the blood transfusion scene because she feared that she would really be given a shot. In fact the needle was merely taped against her arm.
The character Regret, named after the prize winning 1915 racehorse, was based on Otto "Abadabba" Berman, the financial genius behind gangster Dutch Schultz's business empire and the close friend of writer Damon Runyon. Berman was shot dead in a hit on Schultz a year after the film's release.
For the scene in which Marky is thrown from a horse, Shirley Temple was wired to an overhead crane and carefully lowered to the ground.