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: 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)
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.