Thriller was filmed at the Palace Theatre in downtown Los Angeles, the zombie sequence at the junction of Union Pacific Avenue and South Calzona Street in East Los Angeles, and the final house scene at 1345 Carroll Avenue in the Angeleno Heights neighborhood of Echo Park. The director of photography was Robert Paynter, who had worked with Landis on Trading Places.
Entertainment figures including Marlon Brando, Fred Astaire, Rock Hudson and Jackie Kennedy Onassis visited the set. Jackson’s parents Joseph and Katherine Jackson also visited. According to Landis, Michael asked Joseph to be removed; he refused and had to be escorted off the set by police. Joseph denied this.

Weeks before the premiere, Jackson, who was a Jehovah’s Witness, was told by the organization leaders that the film promoted demonology and that he would be excommunicated. Jackson called his assistant, John Branca, and ordered him to destroy the negatives. The production team agreed to protect the negatives and locked them in Branca’s office. Branca mollified Jackson by suggesting they include a disclaimer at the start of the film stating that it did not reflect Jackson’s personal convictions. In a statement published in Awake!, a magazine published by the Watch Tower Bible and Tract Society of Pennsylvania, Jackson said: «I just intended to do a good, fun short film, not to purposely bring to the screen something to scare people or to do anything bad. I want to do what’s right. I would never do anything like that again.» He said he had blocked further distribution and promotion of the film where he had been able.