Continuity mistake: When Frank's henchmen wait for Harmonica at the train station it's very windy. For example, you see the wires of the telegraph machine moving, and a string that's dangling in the window behind it is swaying wildly. Only in two shots, when the station agent gets locked up, the wires and the string are absolutely still, to start moving as before in the next shot. Desert wind wouldn't stop completely just for a few seconds. (00:02:40)
Revealing mistake: Jack Elam gets bothered by a fly crawling over his face (nice stunt, actually). When the fly moves over the bench, just before he catches it with the muzzle of his gun, look at the hind legs. You'll notice that the fly is dead. (00:07:50)
Audio problem: In the last shot of the shoot-out scene at the station, we see Harmonica's carrier bag in the extreme foreground, and windmill in the extreme background. The windmill has stopped, but you still hear the wind blowing, and a few seconds before you have heard the squeaking pump. (00:13:50)
Continuity mistake: Jill's arrival by train is quite badly edited: When she gets off, two porters carry her luggage to the station building. She looks at the station clock which shows 7:55, then down at her watch wich shows 10:10. This may indicate how the time has passed, but it looks strange. In the last shot her luggage is back at the tracks, and the porters pick it up again. (00:26:15)
Continuity mistake: After Jill's arrival at the train station she leaves by cart. The way the luggage is piled on back changes totally when they go through Monument Valley. There are reasons to believe that it's a different cart as also the horses seem to change (check the mane which changes colors and sometimes falls to the left, sometimes to the right). (00:29:00)
Continuity mistake: On the way to Sweetwater the cart goes through Monument Valley. There, the very long shadows of the cart and the rocks don't match the time Jill has left the station (some time after 10). A bit later, when they pass the construction site, the shadows are short and more fitting for the time of the day again. (00:29:00)
Revealing mistake: When Jill get's off the cart at the post station look how the light falls on the cart with the luggage and the rock in the background. It obviously comes from opposite directions. (00:31:05)
Continuity mistake: The whole scene in the post station takes about 12 minutes. During this time the bartender finishes his cigar almost completely, a task that takes at least 45 minutes if you smoke fast. In the very last shot the cigar is again much longer but half hidden in the hand, apparently to make it look shorter. (00:32:20 - 00:44:00)
Factual error: It seems unlikely that the bullet hole in Harmonica's jacket should have burned edges - he was shot at a distance of more than ten metres. (00:36:35)
Continuity mistake: The bullet hole in Harmonica's jacket changes size, shape, and degree of bloodiness during the scene at the post station. (00:36:35 - 00:42:45)
Character mistake: In the saloon on the way to Sweetwater, where Harmonica meets Cheyenne and his gang for the first time, Harmonica grabs one of the men's coats and looks at it, saying "I saw three of these dusters a short time ago. Inside the dusters there were three men. Inside the men there were three bullets." Actually, while the movie starts off with the three men at the train station wearing dusters, in the shootout scene, the black cowboy is no longer wearing a duster. Harmonica would have only seen two dusters. (00:41:50)
Continuity mistake: When Harmonica tells Cheyenne about the three men he killed at the train station, he is sipping from a cup. He is holding the cup in both hands with his fingertips touching, but in the last shot he is holding the cup by the handle. It's theoretically possible but looks wrong. (00:42:10)
Other mistake: At the end of the post station scene Cheyenne says to Harmonica: "Cheyenne's men don't get killed". The subtitles read "Cheyenne's, man, don't get killed", whatever that is supposed to mean. (00:42:30)
Factual error: At the end of the post station scene Cheyenne advises Harmonica to "watch those false notes". Harmonica anwers this with a discordant chord that could not be produced on a harmonica like his. (00:43:35)
Continuity mistake: When Jill arrives at the McBain killing scene a close-up shows her looking in shock at the corpses. There are long, untidy strands of hair hanging down from both temples. When she gets off the cart, only the hair on the right side is loose. (00:45:20)
Plot hole: On her first night alone on the McBain farm, Jill hears someone playing a harmonica out there in the dark. She blows out a candle (but there is still plenty of light in the room), grabs a gun, positions herself at the brightly lit window, and shoots when the sees tha harmonica player lighting a match. This behavior is way too foolish for a women depicted as street-smart as Jill. (00:55:30)
Continuity mistake: When Jill attempts to leave Sweetwater for the first time her hair is combed out of her forehead, enhancing its striking beauty. When she opens the door, only to face Cheyenne and his men, the wind blows her hair even further back, but when the camera cuts to outside the wind is coming from behind, blowing her hair over her face. (00:57:50)
Revealing mistake: When Jill offers herself to Cheyenne she puts down the kettle on the table so hard that the lid falls off. If you look closely (slow motion helps) you see the lid dangling by the knob between her fingers before she puts the kettle down. (01:03:10)
Revealing mistake: In the morning after Cheyenne's visit Jill attempts to leave Sweetwater for the second time. She carries a lot of luggage to the stable, and it's very obvious that it's all empty. (01:11:30)
Other mistake: When Jill tries to leave Sweetwater in the morning after Cheyenne's visit, she runs into Harmonica. He has a very nasty, coarsely stitched injury in his cheek that is not accounted for, and for which there was no time to be received, stitched, and the stitches removed again. (Special Edition DVD has a deleted scene in which Harmonica is beaten up, which explains the injury, but it is a continuity mistake within the regular movie.) (01:12:25)
Answer: They formed an alliance, Cheyenne wanted to know why he was being framed for the massacre of an entire family by Henry Fonda and Harmonica seemed to know everything.