Listed under Film Locations in Bristol, United Kingdom.
The 39 Steps (Dir: Don Sharp, 1978)
Most of Hitchcock’s original was shot on a sound stage and in the Lime Grove Studios at Shepherds Bush, the big externals were shot on the Forth Bridge in Edinburgh, Fleet Viaduct, Dromore and around Glen Coe in the highlands. I noticed the 1978 version in the intro where it helped Big Ben’s tower score a victory as the most iconic location so I thought I should mention a few of the others used. If you’re familiar with London you probably recognised Marylebone Station as the backdrop for Scudder’s death. The scenes originally shot on the Forth Bridge used the Victoria Bridge, Arley (still over the Severn though), the railways scenes used the Severn Valley Railway. In Scotland the most recognisable location is the ruin of Morton Castle. Oh and most obvious of all, Richard Hannay's flat is in Albert Court - right next to the Albert Hall (so he's moving up in the world.).
Photos of the 1935 Scottish locations: http://www.scotlandthemovie.com/movies/fsteps1.html
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I note the comment about this film being shot at the Fleet viaduct, but nowhere on the film can I see it - I oversee the management of the national nature reserve in which the viaduct sits so am very familiar with the setting. Even allowing for the fact that there would have been no conifer plantation in 1935 when the film was made, the locaility has not changed that much and there are no shots which appear to have a viaduct in them. This idea appears on other websites about the Hitchcock version of the film so wonder if you can shed any light on this?
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I've asked our Film Fan expert if he knows which scene the viaduct is in - I'm not sure if his knowledge is that detailed though! I've also asked him is there are any shot by shot location guides he can recommend to you - so I'll let you know...