The idea for the film had its origin in the mid 1980s, when Tarr heard Krasznahorkai retell the story of Nietzsche's breakdown, and ended it by asking what happened to the horse. Tarr and Krasznahorkai then wrote a short synopsis for such a story in 1990, but put it away in favour of making Sátántangó. Krasznahorkai eventually wrote The Turin Horse in prose text after the production of the duo's previous film, the troublesome The Man from London. The Turin Horse never had a conventional screenplay, and Krasznahorkai's prose was what the filmmakers used to find financial partners.
The Turin Horse was produced by Tarr's Hungarian company T. T. Filmműhely, in collaboration with Switzerland's Vega Film Production, Germany's Zero Fiction Film and France's MPM Film. It also had American involvement through the Minneapolis-based company Werc Werk Works. The project received 240,000 euro from Eurimages and 100,000 euro from Medienboard Berlin-Brandenburg.
Filming was located to a valley in Hungary. The house, well and stable were all built specifically for the film, and were not artificial sets but proper structures of stone and wood. The supposed 35 day shoot was set to take place during the months of November and December 2008. However because of adverse weather conditions, principal photography was not finished until 2010.