Kevin Bacon met several bike messengers himself. Bacon said: "You can make your own schedule, and you can work hard and make more money, or work less and make less money. You're really your own boss. Most messengers are on their way to some place else. Some of them are college kids, and some are actors. Some of them are serious cyclists who want to race and they figure this is the best kind of work they can get because they're constantly training, but others are doing it because it's what they do for a living. Even though the guys may be eclectic, there is a strong sense of commitment". Producer Daniel Melnick said: "The actual bike messengers have one thing in common: problems with authority. They gravitate to this job because they can be their own bosses. No one is dependent on them but themselves". Director Thomas Michael Donnelly said of Bacon's character that Jack Casey "is a survivor on a very basic level. He returns to a more primitive tribal world to regain his spirit. Only then will he be able, if he wants, to return to a more mechanized, intellectual world". All these three key production personnel of Bacon, Melnick, and Donnelly, all had a strong sense of the origin of the film's story and character.
While in San Francisco, the film company was granted permission to shoot on the options floor of the Pacific Stock Exchange, a movie first since the new floor, with the latest state-of-the-art equipment, had opened just two months earlier. The location was used for several scenes in the movie. A limited crew, using hand-held cameras, filmed as market specialists worked in the frenzied atmosphere.The former stock building is now a Equinox fitness center on Pine & Sansome in the financial district of San Francisco.
After two weeks of rehearsal, principal photography began on November 3, 1984, in San Francisco, California, with a good deal of the filming taking place also in Los Angeles. Shooting locations in New York City were integrated, to comprise a non-specific urban setting for the film.
Kevin Bacon trained for four months riding a track bike which had no gears and no brakes. The serious bike messengers claim that the track (or 11 fix") bike affords them more control and in effect becomes an extension of their bodies. Bacon sought first-hand experience by riding in New York City, along with Thomas Michael Donnelly, who himself had worked as a bike messenger while writing the script. Bacon said: "It's really a terrifically exciting thing, because you have so many brushes with death. You're constantly getting cut off by cars, and you see a hole and you just make a run for it. You have this kind of relationship to the city as a structure that you don't have on foot or in a car."
Tony Award-winning choreographer Grover Dale designed an informal pas-de-deux between Kevin Bacon and Whitney Kershaw with Bacon performing his routine on his bicycle. Bacon was required to train extensively for this scene with Kershaw who played a ballerina and Bacon's girlfriend in the early part of the film.