Fashion house Christian Dior recreated three dresses for this film that it had previously made for the real Wallis Simpson.
Wallis Simpson was a patron of the Paris couture house of Madeleine Vionnet in the 1930's. Her original orders are still held in the company's archives, and recreations of four of those gowns were made by the fashion house for this film.
James Fox (King George V) and Laurence Fox (Prince Albert / King George VI) are father and son in real life. The former's elder brother Edward Fox had previously played King Edward VIII / the Duke of Windsor, the eldest son of King George V, in Edward & Mrs. Simpson (1978).
Ewan McGregor, Vera Farmiga, David Parfitt, Nina Gold, and Margo Stilley all exited the film during various stages of the production.
Ewan McGregor was cast as King Edward VIII, but dropped out due to scheduling conflicts.
The song "Masterpiece", which won the Golden Globe for Best Original Song, was deemed ineligible for the Academy Awards because it appeared only as the second piece of music during the credits.
Madonna thanks Leni Riefenstahl, who directed numerous Nazi propaganda films most notably Triumph of the Will (1935), in the closing credits.
The jeweler Cartier made ten recreation of Wallis Simpson's jewels for the film, including her emerald engagement ring and the famous panther ring. While filming in Nice, another of these recreations, the cross bracelet, got dropped in the surf and was lost. The other pieces were returned to Cartier after filming and destroyed so as not to devalue the original, authentic pieces.
Laurence Fox previously played King George VI's grandson Prince Charles in Whatever Love Means (2005).
Madonna and costume designer Ariane Phillips drew on the former's friendship with John Galliano, the head of Christian Dior, to recreate Wallis Simpson's wardrobe. Simpson was famously a long-time patron of Dior.
Some real pieces from Cartier's and Van Cleef & Arpels' archives, usually reserved for exhibition, were loaned to the film. The Cartier pieces came from Switzerland, and each piece had its own handler and two security guards.
The majority of the film's budget was self-financed by Madonna, in addition to a UK tax credit.
An entire day's worth of filming was spent on a scene in which Abbie Cornish emerges from a bathtub.
The Saville Row tailor, Dunhill, helped to make the suits Prince Edward wears throughout the film.
A real auction of Wallis Simpson's personal effects (including luggage, negligee and accessories) took place on March 17, 2011, facilitated by Kerry Taylor Auctions of central London.
In "W.E." Wallis is shown horse(back)-riding with the Duke: she could ride but there's no record of her doing so while she was in the U.K..
In an interview for the Daily Mail published in February 2019 Judy Parfitt stated that she was not overawed by Madonna: "She knew I didn't give a monkey's, and at one point when I needed to smoke- I was playing Queen Mary who was a secret smoker- she had to get down on her knees to pass a cigarette to me. "That's just where I like to see you Madonna" I said "On your knees". Everybody else was kowtowing to her but I thought, "Yes, you're an OK singer and an OK dancer, but you are a dreadful actress and director" ".