John Dillinger's lawyer at Crown Point, Louis Piquett, never went to law school. He passed the bar on his fourth attempt, receiving his license to practice in 1920.
Although Billie Frechette was never given a "third degree" interrogation by the FBI, as shown in the movie, the FBI agents did, in fact, perform similar tactics on Helen Nelson (the wife of Baby Face Nelson), Alvin Karpis, and a John Dillinger associate in Chicago named James Probasco. In the instance of Probasco, he ended up falling to his death from a upper-floor window. Offically, it is believed he committed suicide in order to avoid further interrogation. However, some historians believe that the FBI agents interrogating Probasco attempted to make him talk by hanging him out of a window, and that they lost their grip on him.
In the commentary, Michael Mann reports that a crew member pointed out that the date was April 22nd. Mann then realized that they were filming on the anniversary of the actual shoot-out of the Little Bohemia lodge.
While filming on location in Oshkosh, Wisconsin, a boy, aged eleven, told Johnny Depp he loved his Fedora hat, and would like to have one like it. Depp told the boy he would see what he could do about that. After filming finished, Depp sent the boy the hat in the mail.
For John Dillinger's famous escape from Crown Point Jail, the film makers decided to film at the real jail, which had been closed and turned into a historical museum when the new jail opened in the 70s. They dressed the jail and store fronts on the square to its original condition, as it would've appeared in 1933. They also filmed the Little Bohemia shoot-out at the real lodge. Johnny Depp was staying in the same room the real Dillinger stayed in.