The film has an estimated budget of $250 million. Nolan has elected not to film in 3-D, but has instead stated that he intends to focus on improving image quality and scale using the IMAX format. The Dark Knight Rises will feature more scenes shot in IMAX than The Dark Knight. Nolan's wife and co-producer Emma Thomas stated that the film will have between forty and fifty minutes of footage shot in IMAX (by comparison, The Dark Knight contained thirty minutes), depending on the editing process. Nolan has had several meetings with IMAX Vice-President David Keighley to work on the logistics of projecting films in digital IMAX venues. Wally Pfister had expressed interest in shooting the film entirely in IMAX, but because of the considerable noise made by IMAX cameras, 35mm and 70mm cameras had to be used for shooting the film's dialogue scenes, as dialogue had to be dubbed when shot with IMAX cameras.

Filming was scheduled to start in May and conclude in November 2011. Principal photography commenced on May 6, 2011, in Jodhpur, India at the Mehrangarh Fort before moving to Pittsburgh, where it operated under the working title "Magnus Rex". Shooting locations within the city included Heinz Field, the site of an American football game, with members of the Pittsburgh Steelers playing the Gotham Rogues football team. Filming in Pittsburgh also took place at the Mellon Institute and Software Engineering Institute at Carnegie Mellon University. A letter sent out to residents and business owners detailing road closures revealed that the streets of the city would be featured "as the start of the film". 9-1-1 operators were told to expect an increase in calls related to gun shots and explosions in the film's production. The Pittsburgh leg of production wrapped after three weeks on August 21, 2011, before moving on to Los Angeles and New York. In November 2011, shooting shifted to Newark, New Jersey. Newark City Hall and Military Park were among the locations used for filming. Other shooting locations include London and Glasgow, the latter of which was used for "additional exterior filming". Principal photography concluded on November 14, 2011.

Production photos from filming in Pittsburgh showed a second Tumbler chassis after the first was destroyed in The Dark Knight. Further set photos revealed a "new vehicle" being transported to Wabash Tunnel, prompting speculation as to its nature. In June 2011, Autoblog confirmed the presence of the new Lamborghini Aventador on the film set.

Several accidents occurred during the production of the film. While filming at Wollaton Hall, a tractor-trailer crashed into the main entrance, though no one was injured. A stuntman parachutist later crashed through the roof of a home in Cairngorm Gliding Club, Feshiebridge in Scotland, and became wedged there after a failed landing during a skydiving stunt; he was not seriously injured. While filming scenes in Pittsburgh, Hathaway's stunt double crashed into an IMAX camera while filming a sequence that required her to ride a Batpod down a flight of stairs during a riot. There were no injuries, but the camera was destroyed. A second accident took place in Pittsburgh when the truck carrying the new, unidentified vehicle went off-course and crashed into a lighting array, damaging the model of the aircraft. Production was delayed while the model was repaired.