Shia LaBeouf was asked to send pictures of his penis in order to obtain his role. He subsequently decided to send in personal tapes of him and his girlfriend having sex in order to convince Lars von Trier to cast him.
According to Stellan Skarsgård, the "chocolate sweets" portion of the first chapter is based on an anecdote told by a female friend of Lars von Trier about how she and a friend dared each other to have sex with people on a train for a bag of candy.
Originally, this and Nymphomaniac: Vol. II (2013) were shot as one movie and originally intended to be released as one cut. Due to its length, it was split into two movies.
Along with Nymphomaniac: Vol. II (2013), the final part of the "Trilogy of Depression" also including Antichrist (2009) and Melancholia (2011), all of which star Charlotte Gainsbourg.