In the clip Treat also mentions that some exterior scenes were filmed in Canada...
That's actually pretty well-known and of course excludes the iconic DUMBO scene. I wonder what those areas of Montreal look like now.... I actually lived in Montreal for a while when I was a kid, but was too young to know really know about Sergio Leone and OUATIA then.
Two hundred metres of 8th Street South and surroundings were duplicated by production designer Carlo Simi and his team on the outskirts of Rome (near Prietralata) on the Via delle Messid'oro. According to Luca Morsella this location belonged to De Paulis Studios - producer Arnon Milchan purchased the land for the production. Simi who was in charge of customising the real life period streets in Brooklyn measured these buildings himself to be certain the duplicates in Italy would match.