During post-production on this film, Robert Altman was having a difficult time finding a proper musical score, until he attended a party where the album "Songs of Leonard Cohen" was playing and noticed that several songs from the album seemed to fit in with the overall mood and themes of the movie. Cohen, who had been a fan of Altman's previous film, Brewster McCloud (1970), allowed him to use three songs from the album - "The Stranger Song", "Sisters of Mercy" and "Winter Lady" - although Altman was dismayed when Cohen later admitted that he didn't like the movie. A year later, Altman received a phone call from Cohen, who told him that he changed his mind after re-watching the movie with an audience and now loved it.
Warren Beatty loved to perform multiple takes of his scenes. Once, when Altman was ready to wrap shooting for the day, Beatty insisted on more takes. Altman left and had his assistant shoot them and Beatty did over thirty takes of the scene. Altman got his revenge by ordering Beatty to do 25 takes of a scene involving Beatty in the snow.
At the beginning of the film, there is a shot of McCabe lighting a cigar before crossing the bridge. According to Robert Altman, Stanley Kubrick loved that shot and called him up asking him: "How did you know you had it?"
Carpenters for the film were locals and young men from the United States, fleeing conscription into the Vietnam War; they were dressed in period costume and used tools of the period, so that they could go about their business in the background, while the plot advanced in the foreground.
The principal actors interweave their roles with more than 50 extras assigned by Robert Altman to wander around the huge backwoods set near Vancouver for a few days, and then told them to decide the kind of person they would like to be to fit into the town - a barber, a lumberman, a bartender, a housewife, etc. - and go pick out the kind of wardrobe they think their character would wear, and to be that character for the next three months of filming.
For a distinctive look, Robert Altman and Vilmos Zsigmond chose to "flash" (pre-fog) the film negative before its eventual exposure, as well as use a number of filters on the cameras, rather than manipulate the film in post-production; in this way the studio could not force him to change the film's look to something less distinctive.
The film was shot in West Vancouver and in Squamish, almost in sequential order, a rarity for films. The crew found a suitable location for the filming and built up the "set", as McCabe built up the town in the film.
It began snowing near the end of shooting, when the church fire and the standoff were the only scenes left. Warren Beatty did not want to start shooting in the snow, as it was in a sense dangerous (expensive) to do so: to preserve continuity, the rest of the film would have to be shot in snow. Robert Altman countered that since those were the only scenes left to film, it was best to start since there was nothing else to do. The "standoff" scene and its concurrent church fire scene, were shot over nine days. The heavy snow, with the exception of a few "fill-in" patches on the ground, was genuine; the crew members built snowmen and had snowball fights between takes.
The crew ran buried hoses throughout the town, placed so they could create the appearance of rain. Since the city of Vancouver generally receives a great deal of rain, it was usually only necessary to turn on the hoses to make scenes shot on the rare days when it didn't rain, to match those shot on days when it did.
Robert Altman was introduced to the story by David Foster, one of the film's producers. Foster had been introduced to the story by the widow of novelist Richard Wright, an agent for Edmund Naughton, who was then living in Paris and working for the International Herald Tribune. Altman was in post-production on MASH (1970) and sneaked Foster into the screening; Foster liked the film and agreed to have Altman direct McCabe; they agreed to wait until MASH (1970) became popular to take the pitch for McCabe to a studio for funding. Foster called Warren Beatty in England, about the film; Beatty flew to New York to see M.A.S.H. and then flew to Los Angeles, California to sign for McCabe.
Star Julie Christie walks through another Robert Altman film, Nashville, in 1975, in which Kieth Carradine (Cowboy) and Shelley Duvall (Ida) again fall into bed together. Carradine as (Tom) a lothario "former member of a trio" spends most of his on-screen time on the bed with various other women in the cast. Another connection, in Christie's cameo she is introduced to the character played by Michael Murphy, who is later asked if he ever worked with her before, an inside joke as Murphy plays "Sears" in McCabe.