The Red Ryder BB gun was available beginning in 1938 and for many years afterward (and indeed, still is), but never in the exact configuration mentioned in the film. The Daisy "Buck Jones" model did have a compass and a sundial in the stock, but these features were not included in the Red Ryder model. The compass and sundial were placed on Ralphie's BB gun but on the opposite side of the stock due to Peter Billingsley (Ralphie) being left-handed.

Director Bob Clark stated in the film's commentary CD that he and author Shepherd wished for the movie to be seen as "amorphously late 30s, early 40s." The film is not specifically about a given year, it is about a particular time in American family life. The film appears to be set roughly around the tail end of the Great Depression but before the United States involvement in World War II. There are references throughout the film that viewers enjoy linking to particular years, and if one connects a reference to a particular year, the movie can be dated as being as early as 1935 or as late as 1947. 1939-40 is slightly later than author Jean Shepherd's own childhood (he was 19 years old in 1940) but earlier than that of director Bob Clark (who was born in 1939). While Shepherd was age 10 in 1931, Clark was age 10 in 1949 - a separation of 18 years. If the consensus between Shepherd and Clark was to find a "middle-ground" for their youths, they may well have divided the difference in half (9), then added that amount of years to the earliest date (1931), thereby arriving at 1940.

These minor contradictory items only indicate what director Bob Clark said in his commentary, as previously stated above: The film is set in the "amorphously later Thirties, early Forties." The movie is intended as a credible, warm and thoroughly inviting memory of an innocent American Christmas around the World War II era. The individual viewer can elect to date the film to any year they wish, but for whatever year they choose, many contradictions occur within the film, and this fits exactly with the writer and directors idea of "around 1940".

The mock heroic tone of the narration, filled with such hyperbole as "the legendary battle of the lamp", is matched by the extensive use of familiar classical music themes. For example, when the character Scut Farkus appears, the Wolf's theme from Sergei Prokofiev's Peter and the Wolf plays in the background. ("Farkas" is a Hungarian name, but literally means "Wolf") The leitmotifs from Peter and the Wolf are used quite extensively. The piece that plays after Ralphie says "fudge", after the lamp breaks for the second time, and after Ralphie breaks his glasses is the opening of Hamlet by Tchaikovsky. The Grand Canyon Suite by Ferde Grofé is featured prominently in the movie. Movement 3 [On The Trail] provides a suitable Western feeling to a Red Ryder rifle fantasy sequence, and bits of Movement 1 [Sunrise] and Movement 4 [Sunset] were also freely arranged and adapted throughout the score. The music in the dream sequence with Ralphie in a cowboy outfit shooting at bandits and later when he finally plays with his BB gun outside of the house is based on the main theme from the classic John Ford western Stagecoach (1939). The harp solo from Benjamin Britten's "A Ceremony of Carols" is briefly excerpted for the scene in which Ralphie observes a snowy Christmas morning from his bedroom window, which follows a segment of celeste music which comes, again, from the latter half of Movement 3 [On The Trail] of Ferde Grofé's Grand Canyon Suite which plays as Ralphie awakens on Christmas morning. The classroom fantasy scene where Miss Shields is grading Ralph's paper features two excerpts from Tchaikovsky's "Romeo and Juliet Fantasy Overture." Whenever the scene involves the hounds belonging to the Bumpus family, "our hillbilly neighbors", snatches of the American folk tune "Chicken Reel" are heard. During the dream sequence when Ralphie goes blind from soap poisoning, excerpts from Robert Schumann's Kinderszenen can be heard.

Popular music of the time was also used, ostensibly as coming from the radio. This included three Christmas songs sung by Bing Crosby, two of them in conjunction with the Andrews Sisters. Spiritual Christmas songs that appear in the film include "Go Tell It on the Mountain", which is sung by carolers during the opening scene, and "Silent Night," which is heard during the final scene.

The title card and closing credits are accompanied by modified instrumental versions of "Deck the Halls" and "We Wish You a Merry Christmas," respectively (see album below).

Original music for the film's score was by Carl Zittrer, who worked with director Bob Clark on at least ten films between 1972 and 1998; and by Paul Zaza, who has worked with Clark on at least sixteen films, including Murder by Decree and My Summer Story.

In 2009 Rhino Records released a soundtrack album for the film on CD. This release contains no spoken dialogue from the movie, only clips from the original score by Carl Zittrer and Paul Zaza and a version of "Silent Night" by the Mormon Tabernacle Choir. The tracklisting is as follows: