Continuity mistake: When Harmonica shows up at Sweetwater, the bullet hole in his jacket that he received at the station is gone (gone, not mended.). (01:13:00)
Other mistake: In the scene in Morton's Special Waggon where Wobbles gets pinned by Frank ("A man who can't trust his own pants") Harmonica lies on the roof, not so unseen as he hopes to be. When the train leaves Flagstone Station you see a shot of Flagstone on the track's right. But on the left you see some far more modern housing. That is when see along the top of the train over Harmonica. (01:19:10)
Factual error: When Harmonica climbs down the ladder, only to meet Frank at the other end of a '45, we see that the ladder is electro-welded to the wagon and the steps are also electro-welded to the legs of the ladder - rather lousy welding seams, too! The movie takes place around 1870. Electro-welding started during the '90s, but the method got practicable only in the 1920s - and began to be commonly used in the late '30s when the great navies (except for the Royal Navy) started to use the method for their first-line ships. The great leap forward came during WW2, when Liberty ships and many other vessels were electro-welded. (01:19:50)
Continuity mistake: In the scene where Cheyenne shoots a man through his boot the curtains at the top the window are happily moving in the wind, but when we see them from outside they are almost still. (01:28:50)
Continuity mistake: Cheyenne shoots a man through the tip of his boot. When we see the boot next, that is a little later when he and Harmonica check the station construction site, both his boots are intact. (01:28:50 - 01:34:20)
Continuity mistake: In the train shoot-out Cheyenne shoots a man through his boot. When the boot appears first in the window it has a round tip, but when the gun goes off the tip is flat, as if it were pressed against the glass, only that the window has no glass. (01:28:50)
Visible crew/equipment: When Fonda and his men leave the train on horseback, after capturing Harmonica guy, the whole ground is covered with automobile tire tracks. (01:29:36)
Other mistake: With Harmonica secured in the train, Frank states he will handle 'the woman' personally. As he rides off with some men while the train pulls away, in the foreground modern vehicle tyre tracks can be seen in the dirt. (01:30:00)
Continuity mistake: When Frank comes to the train to find all his men dead there's one of them in something like a kowtow position with his hands reaching back. When he is seen from the other side the hands are in front. (02:07:25)
Continuity mistake: During the shoot-out between Harmonica and Frank lengths and directions of both opponents' shadows keep changing, e.g. when Frank drops his jacket. (02:17:40)
Continuity mistake: During the last flashback that reveals Harmonica's issue with Frank and the significance of the harmonica, the harmonica in the boy's mouth is sometimes dented, sometimes not. (02:22:00)
Continuity mistake: At the end of the movie when Cheyenne is shaving, while Harmonica and Frank are having their shoot-out, he cuts himself at the sound of the gunshots. When Jill tells him that he is a handsome man the cut is gone. (02:22:25)
Other mistake: When the three men meet Harmonica at the railroad station, Woody Strode removes his duster and the shootout occurs. When Harmonica meets Cheyenne and his henchman at the outpost, they are wearing three dusters, each with a bullet hole in them. How could there be a bullet hole in three dusters when Woody Strode removed his before the shootout?
Factual error: As Martha is lying the table near the beginning, she is singing Danny Boy. The song was published in 1913, long after the time period of the movie.
Factual error: If the movie takes place in the 1870's, then the hanging of Harmonica's brother had to have occurred at least 20 years before. Frank and his crew wear gunbelts with cartridges, an item not generally utilized until 1871.
Continuity mistake: In the final shootout, Frank slumps to the ground and Harmonica approaches him. Harmonica has the instrument in his left breast pocket attached to a cord around his neck. He pulls the instrument from the cord quite forcibly causing the cord to whiplash back and lie on his left shoulder. The camera then switches to Frank having the instrument forced into his mouth and then Harmonica comes back into view. The cord is now missing.
Continuity mistake: Towards the end, right before the shootout, the hole in Harmonica's shoulder is suddenly gone altogether.
Other mistake: When Claudia Cardinale first gets off the train station clock has the time as 7:55. When she looks at her watch the time on it is around 10:10.
Factual error: The camera rises up the side and over the roof of the Rail Road Office. The roof of the RR office looked like it was 100 years old. It would have leaked like a sieve all over. That RR office would have been a beautiful new building as it was on the interior scenes at that time.
Factual error: Cheyenne says his mother was "a whore in Alameda..." Alameda was founded in 1853 and incorporated 1854. The story takes place in the 1870's. Jason Robards was 46 in 1968. His character could have been not much older than 20.
Answer: The movie was filmed at multiple locations in Spain and Italy, and also in Utah. Chances are they filmed out of sequence and made minor changes to the script later in the movie. There are many things left unclear in the movie, for example the same scene at the cantina/store, just after Cheyenne's crew shows up, he refers to Harmonica by his name when no-one said his name up until that point.