After a long search for a male lead, director Simon Aeby discovered Wes Bentley on his way to the subway one night. Bentley had just auditioned for the Broadway musical "A Chorus Line", but didn't get the part.
The first day of shooting was on the hottest day of the summer in New York in 1997.
The film's director was originally from Switzerland, and had moved to New York during the 1980s after a successful career directing ads. He was only able to get Three Below Zero financed through help from a TV station which aired a short film he had directed. This channel contributed two thirds of the budget, with another investor later coming up with the rest of the money.
The opening and closing theme song "Leaving" was performed by Alice in the Fields, a band from Wien, Austria. It does not appear on any of the two studio albums they put out.
Despite being shot in New York with American actors, the film's crew was from Europe.