Continuity: When the gang is riding off after the first bank robbery, Jesse's saddle bag is going across his lower left arm. In the next shot it is on his left shoulder but he has only moved his right arm to grab a gun and never moved his left arm.
Revealing mistakes: As the gang is riding away after Cole is supposed to be hung, you can see evidence of the town's facade.
Continuity: When Jesse and his brother first get back to Liberty after the war and talk to the doctor, Jesse looks like he has a few days of growth on his face. When they go to his farm to see his mother (supposedly later that day) he looks like he only has five o'clock shadow.
Continuity: When Jesse and Zee decide to go swimming, there is no evidence of a scar on Jesse's left shoulder. A few scenes later, however, Jesse shows the scar to Pinkerton in the jail cell.
Continuity: When Jesse first exits the train cart through the door, a shot is fired at him, shattering the adjacent door's window. In the next shot, the window only has a single bullet hole in it.
Errors in geography: Although the primary setting of the story is Missouri, the landscape, which is rolling hills and plateaus of brush prairie, does not exist in Missouri (that state's landscape is made of dense woods, farmlands, and Ozark Mountain ranges), and reveals the movie's true filming location in the Texas Hill Country.
Errors made by characters (possibly deliberate errors by the filmmakers): After trying to rob the Hyperion bank, shots start firing, the gang blows up the bank, and blows up the water tower, which comes crashing down on the building where the Pinkertons are. With all this going on, we then see two women casually standing on a nearby corner watching.