The mental institution scenes were filmed at the Northampton State Hospital, an actual asylum in Northampton, Massachusetts, which was abandoned at the time.
Aidan Quinn's dream scene was filmed in the halls of the Wentworth By The Sea Hotel, in New Castle, New Hampshire. At the time, it had been abandoned for many years. Today, the hotel is a thriving Marriott destination. It was also the site of the Russo and Japanese Treaty at the turn of the twentieth century, hosted by President Theodore Roosevelt.
The underwater sequences were actually shot in the 20th Century Fox facility in Baja, Mexico, in the the massive tank built for Titanic. Production designer Nigel Phelps built a section of the town and then flooded it, allowing the filming of the town being flooded, and the sequences of divers searching it.