Shooting began around 1 May and stretched over the next three and a half months. The studio shooting was done at Nordisk Film in Valby and at Sagafilm in Charlottenlund, since Palladium’s own studios had been rented out to the Danish Broadcasting Corporation (DR) for a television shoot. The exteriors were shot in the gardens of Vallø Castle, except for the scene in front of the Swedish Opera in Stockholm, which was shot as an evening/night shot on an exterior set built at Sagafilm.
Arne Abrahamsen, assistant cameraman on the shoot, recounts that there were at least two days of rehearsals for many scenes, with actual filming beginning only on the third day or the day after: "We had done rehearsal after rehearsal, hours of setups or days of camera tests. It had been laborious, with a lot of needling in between by the actors, and, finally, after the third day we finally arrived at what might be called a dress rehearsal, one last full rehearsal without interruption, before we decided to do the final shoot. These scenes were often 10 minutes long, and when this one rehearsal had concluded to everyone’s satisfaction, most of all Mr Dreyer’s, a sigh of relief went through the elderly gentleman … and, clearly encouraged, he tells Henning [the director of photography]: 'Well, we won’t have to do that again, Mr Bendtsen' – a moment of embarrassed silence, which Henning breaks by telling Dreyer, "But it was just a rehearsal, Mr Dreyer, the camera wasn’t rolling." Then Dreyer was completely shattered at the thought that we had to go at it again" (from a letter to the Danish Film Institute, written in connection with an article by Steen Dalin, Dreyer på vrangen, for FILM #11, Sept. 2000).
According to Edvin Kau (1989), the combined production and distribution costs amounted to 1.6 million kroner. Even with a paid security guarantee of 300,000 kroner, plus the Film Council’s (Filmrådet) award of 350,000 kroner, Palladium lost a large sum of money on the film.
An article in Viborg Stifts Folkeblad on 25 February 1965 reports that Palladium had insured the film production for 1.5 million kroner with Lloyd’s of London, an unheard-of measure in Denmark at the time, probably because of the risk presented by Dreyer’s advanced age – he was 75 – and the fact that, an auteur, he would be almost impossible to replace.