The parade scene was filmed in Chattanooga, Tennessee on Veterans' Day. The students in the band were not aware of what was happening. In fact, reading the lips of a majorette, she can be seen asking, "Who was that guy?" as James Caan was weaving through the parade.
The flashback to Gordon (Robert Duvall) failing to save his wife from a burning house was shot north of Brule, Nebraska with the help of the local volunteer fire department. Gordon's wife was played by Director Francis Ford Coppola's wife, Eleanor Coppola (uncredited).
George Lucas visited the set while finishing film school, having heard that Francis Ford Coppola, a fellow film school graduate, was directing. The two struck up a fast friendship and became frequent collaborators during the 1970s, and again in the 1980s with Tucker: The Man and His Dream (1988).
The drive-in scene was filmed at the old Skyline Drive-In on U.S. Highway 19 south of Clarksburg, West Virginia.