Ralph Bakshi had made a previous attempt to direct the film, a production he was to co-produce with Steve Krantz and author Hubert Selby Jr. Actor Robert De Niro accepted a major role in the film. However, the project fell apart when Bakshi and Krantz had a falling out. Bakshi and Selby became friends, and, according to Bakshi, they "tried a few other screenplays after that on other subjects, but I could not shake Last Exit from my mind."
Jennifer Jason Leigh talked about the scene in which she is the object of a vicious gang-bang . "When I was filming the gang rape in Last Exit, I told the other actors before the first shoot: 'Don't forget - it's only acting!' I am aware that things can get out of control. We all got a surge of adrenalin when the camera was rolling, and I know that it carried forward into the whole movie," she said.
Patricia Arquette, who was originally cast in the lead role of Tralala, dropped out before the filming started when she discovered she was pregnant. in 2015, while a guest on "Fresh Air with Terry Gross," Arquette talked about why she dropped out and how difficult it was for her to make the decision to do so: "that character really goes through a lot of difficult things in that movie, and it was my first time having a baby. And I thought, I don't want to be pregnant and emotionally go through this woman's journey that's very violent at certain points with a baby inside me. And it was a very difficult moment where I sat with the producers, and they said, well, we think you could still shoot this while you're pregnant. I said, 'well, let me just walk around the block.' And I came back and I said, 'I can't do this movie 'cause I don't know how that will be for my baby.' And I didn't know if I would ever get another movie. And when I--right after I had him, I'd audition and I wasn't getting movies. And I remember walking into this restaurant on Sunset Boulevard and saying--you know, applying for a job as a waitress. And I said, 'look, I'm smart. I don't have a lot of experience. I like people, I'm nice to people, I learn fast and I have a baby to feed.' And they give me the job, and I was going to start on Wednesday. That Monday, I got a call that I got my first movie after my son."
Courtney Love auditioned for the central lead female role of Tralala which was in the end cast with actress Jennifer Jason Leigh.
The film was made and released about twenty-five years after its source novel of the same name by Hubert Selby Jr. had been first published in 1964.