Before the production started, there was a party, and many of the original Windmill girls attended. Bob Hoskins said it was remarkable. Many of the women seemed to be older versions of the actresses.
The incognito Mrs. Henderson, dressed as a dancing polar bear, was played by Dame Judi Dench, and not a stunt double.
The scene where Vivian Van Damm (Bob Hoskins) and Mrs. Laura Henderson (Dame Judi Dench) were arguing about the name "Millettes or Millerettes" is all done in one continuous shot. Director Stephen Frears thought it better to "stand back and let the actors interact."
Many scenes, such as the portraits, and the Wild West Show, are re-creations from authentic photographs of the Windmill Theatre in its heyday.
According to Director Stephen Frears, Dame Judi Dench was always slightly nervous, so they would edit her speeches as she had learned them. During the "sherry-sipping" party before the opening of the theatre, at two points, Lady Conway (Thelma Barlow) prompts her in her speech ("Bread line... Employment"). This wasn't in the script, but Frears thought it was funny, so he included it in the final cut.