According to the story, the events of "Pale Rider" take place just outside of LaHood, California, a fictional mining town surrounded by snow-capped mountains. However, most of the filming actually occurred in the vicinity of the Sawtooth National Recreation Area in Central Idaho, just north of the resort town Sun Valley. Much of the scenery, shot in 1984, features the jagged, unforgiving Sawtooth Mountains, as well as the White Clouds Wilderness and the Hemingway-Boulders Wilderness areas (via The Clint Eastwood Archive).

Other integral scenes in "Pale Rider" were filmed in central California in the shadow of the Sierra Nevadas. Train station scenes were shot around Jamestown, and feature the Railtown 1897 State Historic Park, which also famously appeared in 1952's "High Noon." The sequence that takes place in a Wells Fargo office was filmed in Columbia, California, also located in Tuolumne County (via Movie-Locations). A real-life Gold Rush town founded in 1850, Columbia can also be seen in "High Noon." For all the references to classic Westerns, it's clear that Eastwood strived to showcase the mountains themselves, which serve as the thematic and geographical backdrop to "Pale Rider."