David Duchovny signed on to do the film just before he landed his big break with The X-Files (1993). While The X-Files was in production, Duchovny would fly to LA on weekends to film the wraparound segments for Red Shoe Diaries (1992).
Sharon Stone was considered for the role of Alex, but she turned down the role due to her being cast in Basic Instinct (1992).
In some countries, the film was titled Red Shoes Diaries: Wild Orchid 3.
References that delved more into Alex's mental health issues, such as her alcoholism, were ultimately cut, giving the appearance that her suicide was mostly brought on by her two lovers.