The city of Venice was used as a filming location, including the city's library. Petra in Jordan was used for the temple at the end of the movie. Opening shots of the desert were filmed in the U.S. at Utah's Arches National Park.

The iconic final scene of Indiana Jones and the Last Crusade, where Indy, Henry Jones Sr., Sallah, and Marcus Brody ride their horses into the sunset after escaping the Temple of the Sun, was filmed on location at Petra, Jordan. Specifically, the "Temple of the Sun" facade featured in the movie is Al-Khazneh (The Treasury), a magnificent structure carved directly into the rose-red sandstone cliff face around the 1st century AD. To reach this location, the production crew utilized the Siq, the narrow, winding gorge that serves as the dramatic entrance to the ancient city, which is also seen in the film as the heroes approach the temple. While the interior scenes of the Grail's chamber were filmed on soundstages at Elstree Studios in England, the breathtaking exterior shots and the final departure remain some of the most famous uses of Petra in cinematic history, forever linking the real-world archaeological site to the legend of the Holy Grail.