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 Lord Chamberlain refers to the groin as the 'Midlands', because Stephen Frears discovered that was what John Gielgud called the groin, and decided to add it in.

Many scenes, such as the portraits, and the Wild West Show, are recreations from authentic photographs of the Windmill Theatre in its hey day.

The scene where Mr. Van Damm and Mrs. Henderson were arguing about the name "Millettes or Millerettes" is all done in one continuous shot. Stephen Frears thought it better to 'stand back and let the actors interact'.

Mr. Van Damm announces that Bertie has been kept out of military service by his heart murmur, and everyone present (including Bertie) reacts as if this is a great joke. This suggests that it's an official cover story. Homosexual acts were a crime in Britain at the time, although they were usually covered up rather than prosecuted. The presence of obvious homosexuals in the army was considered bad for morale, so it was common for perfectly healthy men of that nature to enlist for service and be turned away. Since recruiting officers often refused to even admit that homosexuality existed, they paid doctors to publish falsified medical reports naming such a disability as the pretext for why the volunteers were turned away.

According to the director, Judi Dench was always slightly nervous that they would edit her speeches, as she had learned them. During the 'sherry-sipping' party before the opening of the theatre, at two points, Thelma Barlow's character prompts her in her speech ("Bread line... Employment"). This wasn't in the script, but Stephen Frears thought it was funny so included it into the final cut.

The 'mouse' story was true; indeed, Van Damm and the the Lord Chamberlain's office were constantly arguing over the amount of light displayed on the bodies of the girls.

Honeysuckle Weeks was offered a major role but declined because of the nudity involved.

It was Judi Dench and Bob Hoskins who, having been signed, requested Stephen Frears to direct.

Acting debut of singer Will Young, as Bertie, the Windmill's leading male singer.

When Mrs. Henderson goes to visit the Lord Chamberlain for the first time, the room the scene was shot in was in a house on sale in London for £12 million.

Stephen Frears almost cast Celia Imrie as Lady Conway, but decided she was too young for the part. Thelma Barlow got it instead.

When Mrs. Henderson is in bed talking to Lady Conway by telephone, we see it as a split screen. Stephen Frears achieved this by filming them simultaneously side by side.

Many of the scenes from the war were taken from real-life documentaries by Humphrey Jennings.

Mrs. Henderson says the famous Moulin Rouge music hall in Paris is the namesake of her Windmill. This is because Moulin Rouge translates as Red Windmill and has a windmill motif. She also mentions the female dancers in Paris who wear only bananas, an unmistakable allusion to the American expatriate who became a French national symbol: Josephine Baker.

The movie gets a few historical dates wrong. In real life, Laura Henderson's husband died in 1919. She bought the Windmill Theater in 1930, and began offering the "tableaux vivants" featuring nude performers in 1932. (Director Stephen Frears decided to begin the movie in 1937 to better capture the fantasy spirit of 1930's musicals.) After Mrs. Henderson's death, Vivian Van Damm ran the theater for many years, before willing it to his daughter, race car driver Sheila Van Damm. Many notable British comedians, including Peter Sellers and Bruce Forsyth, had their initial successes at the Windmill Theater. The theater closed in 1964, when it was converted into a cinema.

The real-life Laura Henderson was 80 when she died in 1944, yet Judi Dench mentions at one point she is nearing 70.

When Vivian Van Damm gives a patriotic wartime speech to the Windmill Theater's cast and crew, Mrs. Henderson says of him, "He thinks he's bloody Winston Churchill." In fact, Bob Hoskins did play Winston Churchill, in the TV mini-series World War II: When Lions Roared (1994).

While talking with the girls who will perform the nude tableaux, Vivian Van Damm compares them to works of art. "You are the Venus de Milo, the Mona Lisa..." When Maureen says the Mona Lisa wore a dress, Van Damm replies, "Some do, some don't." In the film, Mona Lisa (1986), Bob Hoskins played a chauffeur for an expensive London call girl, whom he came to think of as his "Mona Lisa." (Hoskins received his only Oscar nomination for the film.)

The unsupported, unprojected, anachronistic singing of the principals would have been inaudible beyond the second row in the Windmill. For how it was actually done at the time, see Murder at the Windmill (USA: Mystery at the Burkesque).

Bob Hoskins was bizarrely nominated for a Golden Globe award as a supporting actor.

The incognito Mrs. Henderson, dressed as a dancing polar bear, is played by Judi Dench and not a stunt double.