It was partly shot in the Château de Versailles (i.e. the actual setting of the story), but the constraints were quite limiting: the filmmakers could only shoot on Mondays (where the castle is closed to the public), and only outside, in the Royal Chapel, in the Hall of Mirrors and the Hercules Salon, and no candles could be used as it could damage the location. As a result, several rooms were built as movie sets in a studio, as it was way easier to light and shoot scenes that way, without the time constraints.
When director Maïwenn approached Johnny Depp for the role of King Louis XV, Depp asked her if she was sure about casting an American for a French king. Maiwenn assured him she was sure. Depp is an American actor born in Owensboro, Kentucky. For their first meeting, Depp and Maiwenn conversed entirely in French which went on for hours.
Maïwenn admitted she belatedly discovered Barry Lyndon (1975), which had a huge effect on her. This convinced her to make her movie the old way and not make it more modern like Maria Antonieta (2006). As a result, she shot the whole film in 35mm and used Barry Lyndon (1975) as a template for how the movie should look. This was quite challenging to her, as she was used to make very spur-of-the-moment movies, where improvisation is more than allowed and the blocking is made up on the spot; for A Favorita do Rei (2023), everything had to be worked out in advance.
Director Maïwenn wrote the script with a French actor in mind, who refused after a few minutes, stating "cinema is dead" and "only Netflix is left". After dealing with the rejection, she offered the role to another French actor, who quickly accepted but finally had to back out due to health issues. It's been revealed that Gérard Depardieu is one of the two.
She was then asked to make a dream list of potential actors, no matter the origin. She did it, and tried contacting the second one (who seemed somewhat accessible); two months later, his assistant rejected the offer without any explanation. At this point, she became doubtful her project would ever materialize, so she tried the first one on her list, Johnny Depp, who met with her in London two weeks later and said yes on the spot.