The Way of the Wind retells and chronicles several episodes in the life story of Jesus[4] through several parables.[5] A subplot revealed by Röhrig concerns Jesus not wanting Saint Peter, one of his disciples, to partake in a political movement to fight the Roman occupation. Jordan Raup of The Film Stage said there are no scenes of Jesus performing miracles, "making for a rather grounded approach". Mark Rylance, who plays Satan, said Satan has more dialogue than Jesus in scenes featuring the two.[3]
Reports began circulating in June 2019 that Malick had begun filming his next project, then known as The Last Planet, near the town of Anzio, Italy.[6] By July, filming was reportedly occurring in Iceland, with Kingsley and Thors reported to have been cast and present for filming.[7] In September, Rylance, Schoenaerts, Röhrig, Fiennes, Booth, Gioielli, Filocamo and Turner were cast, with Rylance directly confirming the film and saying he would play four versions of Satan. John Rhys-Davies was also added to the cast.[8][5][9][10] Mawle was added in October.[11][12]
Kassovitz told the French radio station RFM that Malick filmed an average of five hours per day, leading to 3,000 hours of footage by the end of filming.[13] Editing commenced in 2019, immediately after filming ended.[14]