Shirley Temple memorized every line of dialogue in this movie, and whenever Gary Cooper forgot or fumbled his lines, Temple prompted him, much to Cooper's annoyance.
In the scene in which Penny bursts into tears after finding the stolen necklace, Shirley Temple's tears were genuine. Just before filming the scene, Temple learned that her friend Dorothy Dell (her co-star in Little Miss Marker (1934)) had been killed in a car crash. Because of Temple's affection for Dell, the news was kept from her for as long as possible.