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)
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)
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)
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)
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.