In the year 2000, an authorized stage play adaptation of A Christmas Story was written by Philip Grecian and is produced widely each Christmas season. In 2003, Broadway Books published the five Jean Shepherd short stories from which the movie and stage play were adapted in a single volume under the title A Christmas Story (ISBN 0-7679-1622-0), with stories including: "Duel in the Snow, or Red Ryder nails the Cleveland Street Kid", "The Counterfeit Secret Circle Member Gets the Message, or The Asp Strikes Again", "My Old Man and the Lascivious Special Award that Heralded the Birth of Pop Art", "Grover Dill and the Tasmanian Devil", and "The Grandstand Passion Play of Delbert and the Bumpus Hounds". This collection was also released as an audio book (ISBN 0-7393-1674-5), read by Dick Cavett.

The book Excelsior, You Fathead! The Art and Enigma of Jean Shepherd (2005, ISBN 978-1-55783-600-7), has several sections which comment on the movie A Christmas Story.

The movie is set in Hammond, Indiana, where writer Jean Shepherd grew up. Local references in the film include Warren G. Harding Elementary School, and Cleveland Street (where Shepherd spent his childhood years). Other Indiana references in the dialogue include a mention of a person "swallowing a yo-yo" in nearby Griffith, Indiana, the Old Man being one of the fiercest "furnace fighters in northern Indiana" and that his obscenities were "hanging in space over Lake Michigan," a mention of the Indianapolis 500, and the line to Santa Claus "stretching all the way to Terre Haute." The Old Man is also revealed to be a fan of the Bears (who he jokingly calls the "Chicago Chipmunks") and White Sox, consistent with living in northwest Indiana.

The school scenes were shot at Victoria School in St. Catharines, Ontario. The school has since been converted to a women's shelter.

Director Bob Clark reportedly sent location scouts to twenty cities before selecting Cleveland, Ohio, as the principal site for filming. Higbee's department store in downtown Cleveland was the stage for three scenes in the film. The first is the opening scene in which Ralphie first spies the Red Ryder BB Gun. The second is the parade scene, filmed just outside Higbee’s, on Public Square, at 3 AM. The final scene is Ralphie and Randy’s visit to see Santa which was filmed inside Higbee’s. Higbee’s kept the Santa slide that was made for the movie and used it for several years after the movie’s release. Higbee's was known for decades as a cornerstone of Public Square, as well as for its elaborate child-centered Christmas themes and decorations (e.g. the Twigbee Shop ), with Santa as the centerpiece, until the store, which became Dillard's in 1992, closed for good in 2002. Higbee's was exclusive to Northeast Ohio—there were no Higbee's stores in Shepherd's hometown. As such, he was most likely referring to Goldblatts in downtown Hammond (with the Cam-Lan Chinese Restaurant three doors down on Sibley Ave.) The parade was filmed at night because during the daytime the 1960s Erieview Tower and Federal Building were visible from the Public Square as was the BP Tower, which was under construction at the time.

The exterior shots (and select interior shots, including the opening of the leg lamp) of the house and neighborhood where Ralphie lived were filmed in the Tremont section of Cleveland's West Side. The house used as the Parker home in these scenes has been restored, reconfigured inside to match the soundstage interiors, and opened to the public as "A Christmas Story House". The "...only I didn't say fudge" scene was filmed at the foot of Cherry Street in Toronto.

In 2008, two fans from Canada released a fan film documentary that visits every location used in the movie. Their film, Road Trip for Ralphie, was shot over two years and includes footage of the film makers saving Miss Shields's black board from the garbage bin on the day the old Victoria School was gutted for renovation, discovering the antique fire truck that saved Flick, locating all the original costumes from the movie and tracking down the real-life location of the movie's Chop Suey Palace in Toronto.

Cleveland car buffs donated the use of a number of vintage vehicles for the film, which helped to enhance the authenticity of the production despite a limited budget. During filming in downtown Cleveland, members of a local antique automobile club, following a preset route, repeatedly circled the square. At the end of filming each day, the cars were thoroughly washed to remove road salt, and parked underground beneath the Terminal Tower.[citation needed]

The Parker family car was a 1937 Oldsmobile Model F-37 four-door trunkback sedan. It is made clear early on the Old Man's bittersweet relationship with his car, as revealed in the lines: "Some men are Baptist, others Catholic; my father was an Oldsmobile man;" "That hot damn Olds has froze up again;" "That son of a bitch would freeze up in the middle of summer on the equator!!!"