Principal photography began on 24 February 2003,[5] at Leavesden Film Studios, and concluded in October 2003.[22]
The third film was the first to extensively utilize real-life locations, as much of the first two films had been shot in the studio. Some sets for the film were built in Glen Coe, Scotland, near the Clachaig Inn. The indoor sets, including ones built for the previous two films, are mainly in Leavesden Film Studios. The Hogwarts Lake was filmed from Loch Shiel, Loch Eilt and Loch Morar in the Scottish Highlands. Incidentally, the train bridge, which was also featured in the Chamber of Secrets, is opposite Loch Shiel and was used to film the sequences when the Dementor boarded the train. A small section of the triple-decker bus scene, where it weaves in between traffic, was filmed in North London's Palmers Green. Some parts were also filmed in and around Borough Market and Lambeth Bridge in London.
Hogwarts grew and expanded significantly with the third film. For the first time, the Hogwarts courtyard and bridge were seen. At the end of the bridge, rock monoliths were placed onto the hillside to evoke a Celtic feeling. The use of live-action also significantly changed the look of Hagrid's hut. In the first two films, it appeared at the end of a flat stretch, right in front of the Forbidden Forest. The third film utilized the more rugged Scottish locations to place Hagrid's hut at the bottom of a steep hillside. A large pumpkin patch was added behind the hut.
The Honeydukes set in this film is a redress of the set of Flourish & Blotts that was seen in Chamber of Secrets, which, in turn, was a redress of the Ollivanders set from the first film.
Rowling allowed Cuarón to make minor changes to the book, on the condition that he stuck to the book's spirit.[19] She allowed him to place a sundial on Hogwarts' grounds, but rejected a graveyard, as that would play an important part in the then unreleased sixth book.[19] Rowling said she "got goosebumps" when she saw several moments in the film, as they inadvertently referred to events in the final two books, she stated "people are going to look back on the film and think that those were put in deliberately as clues."[20] When filming concluded, Cuarón found that it had "been the two sweetest years of my life," and expressed his interest in directing one of the sequels.[19]