Director Sudhir Mishra's brief to his production team for Khoya Khoya Chand was simple. "Do the sets, costumes and music in a subtle way so as to recreate that era, but don't let it overshadow the performance and the story." But that was easier said then done as the team, headed by Art Director Gautam Sen, had the task of recreating Bombay of the mid 20th century. Seeing that Bombay has undergone many architectural changes in the last four decades, it was no mean task to combine glamour with realism, as the director wished.

Besides Mumbai, the team scouted places like Kolkata, Pune, Panchgani, Goa, Delhi, Pataudi and Lucknow for suitable locations. Some of the captivating discoveries where parts of the film were shot include a 400 year old heritage bungalow in Goa, a dense forest in Panchgani and some heritage structures in South Mumbai. The rest of the film was shot at the city's Mehboob, Filmistan, Filmcity and Natraj studios. Incidentally, Khoya Khoya Chaand was the last film shot at Guru Dutt's Natraj studio before the site was given up for commercial purposes.

Sen used all his expertise to create a film studio ambience from the 50's in a vast area of land at Film City. The setting was replete with large gates, vintage cars, offices, film hoardings and posters from the period, everything painstakingly done to transport one right back to era. The other problem that had to be surmounted was the recreation of the film set of the 1950s and 60s for the film-within-a-film-section. Actual sets were built and the space was dressed up with arc lights and matka lights, a Mitchell camera, a crane, and a track trolley originally used by Guru Dutt. The art director sourced the props from the Chor Bazar, scouted all the studios, and many personal collections to handpick the props. Some of them, of course, had to be recreated from references.