One of Alicia Vikander's favorite experiences from the production was the filming that took place in the countryside outside of St. Petersburg, Russia. The temperatures dropped below -40 °C, and she stayed in a cabin for five days that didn't have hot water and only featured benches instead of beds. Meanwhile, Russian security guards protected her and co-star 'Domhnall Gleeson' from wild wolves and bears that dominated the deserted area.
Joe Wright briefly considered having the actors use Russian accents but later decided against it, fearing it would be hard for him to assess their performances.
Inspired by Orlando Figes's 2002 production of Natasha's Dance, Joe Wright adopted an experimental approach to convey the essence of the story. The majority of the film was shot on a "run-down" theater built from scratch in Shepperton. Locations such as a skating rink, train station and stables were dressed on top of the theater. To create fluid linearity, doors open onto Russian landscapes; some actors walk from one set to another under the stage. For cutaway wide exterior shots, toy trains and doll houses were used. The only main cast member who is allowed to venture out of the theater is Domhnall Gleeson (Levin) because Wright wanted to amplify the fact that Levin is the only authentic character in the group.
Some modern audience members have been confused by the object that Karenin (Jude Law) takes out of a small, oblong box in his and Anna's bedroom several times during the movie. This is a condom; for most of the history of contraception, condoms were made of animal- or plant-based materials (such as chemical-treated linen or sheep intestines or bladders), and they were not disposable (being rather expensive, they were often washed and reused). The first vulcanized rubber condoms were produced in the mid-1800s, but they were thick and unwieldy, so it is not unlikely that someone of Karenin's wealth and societal stature would still be using a reusable condom by the time of the setting of this story.
The soundtrack for several of the country scenes makes use of a Russian folk song that was also adapted (but without the words) by Tchaikovsky in his Fourth Symphony, written in the same period as Tolstoy's novel.