Factual error: At the end, Jamiel climbs one of the palace towers and, as a sign of victory, hoists the Arabian flag. Only thing: Baghdad was located in Persia (today's Iran and Iraq), not Arabia; and the shown flag, the green 'shahada', did not appear until the late 18th century. The ancient Persian flag, as far as I could find out, showed a star.
Factual error: There are mountains in the background in several of the scenes, but there aren't actually any mountains in or near St Louis.
Factual error: As the train with Wilson aboard pulls into a town toward the end of the movie the year is 1919. Through the window of the train, looking out into the parking lot, there are two cars from the mid to late 1930s.