Robert Redford originally planned to play Finch Hatton with a proper British accent. Director Pollack thought it would be too distracting for the viewer, so he told him to speak in his normal accent. But what about Meryl Streep doing Danish? Maybe audiences were used to her using a variety of accents, since that was starting to be her specialty. Or maybe Redford just couldn't pull it off. Regardless, he went back and overdubbed the scenes he'd already done with the accent. (Source)

That vintage locomotive we see at various points in the movie? (Most notably in the beginning when it takes Karen to Africa.) It actually didn't work. The production company couldn't find a working vintage train engine, just a few replicas. So instead, they pushed the train using a modern locomotive behind the replica. (Source)

Don't like bugs? Neither does Meryl Streep. Apparently, during the shooting of one scene, a beetle the size of a saucer dropped into her costume… you know, with the corsets and the undergarments and the it-takes-twenty-minutes just to get the thing off. Streep went through the with scene (it's actually in the film) then completely wigged out when the cameras stopped rolling. What a pro. (Source)

Some people believe that Bror did not give Karen syphilis, but that she was infected before they met. She'd complained of some malaria-type symptoms before she met him, and she was known to get around during her time in Paris. Plus, Bror never showed any symptoms himself, and neither did any of his other lovers or wives. Karen wrote as if he infected her, however. She once said, "There are two things you can do in such a situation: shoot the man or accept it." She accepted it. (Source)

Bror Blixen wasn't the only one fooling around in British Kenya in the 1920s. A bunch of debauched expats, including Denys and Beryl Markham (Felicity in the film), called "the Happy Valley set," were notorious for their drug use, wife-swapping, nude parties, and generally scandalous behavior. The joke of the day was asking someone, "Are you married or are you in Kenya?" Karen was friends with some of the group but didn't really get involved in the shenanigans. (Source)