The film was shot at Islington Studios, Shepherd's Bush and on location in Hampshire at Longmoor Military Camp, the site of the Longmoor Military Railway. It was the first film to be made under an agreement between Gaumont-British and MGM, in which Gaumont provided MGM with some of their Gainsborough films for release in the UK, for which MGM would pay half the production costs if MGM decided to release the film in the US. In the case of The Lady Vanishes, however, 20th Century-Fox handled the American release. Filming was briefly interrupted by an electricians' strike.
Elisabeth Weis contends that Hitchcock's use of sound in The Lady Vanishes uses the "classical style" – that is, that the director eschews expressionistic sounds in favor of sounds heard in a realistic context. For example, when Iris faints on the train, rather than extraneous noises to denote delirium, only the sound of the train is heard. Another striking use of sound is how evil things are often heard before they are shown. The evil doctor Dr. Hartz often is first heard before he appears on screen, representing an aural intrusion "not so much an invasion of privacy as of security."