Director M. Night Shyamalan put the entire cast through a 19th century "boot camp" in order for them to get a good feel for the time period.
M. Night Shyamalan initially had a different concept for the "those we do not speak of" creatures. They were originally conceived to be monsters similar to the rock drawings featured in the movie trailers: similar to lions walking on their hind feet, complete with shaggy manes. When the creatures were built to full scale and brought on set, Shyamalan felt that the design was completely unbelievable. The creatures were quickly redesigned, most noticeably with the addition of the red cloak.
Joaquin Phoenix made a wooden walking stick for Bryce Dallas Howard during the 19th-century preparation the actors participated in before the film. He engraved the name of her character, Ivy, on the walking stick.
M. Night Shyamalan: [Philadelphia] The newspaper that Jay the guard (Shyamalan) is reading at the end is 'The Philadelphia Inquirer', which proposes the story is set in Pennsylvania, as are most other Shyamalan movies.