Factual errors: In Kipling's office at the beginning of the film, Peachy states that according to Herodotus (pronounced "Harry-odotus"), Alexander the Great defeated King Oxyartes and took Roxanna as his wife. Herodotus actually died about 70 years before Alexander was born, thus making him unable to recount facts about Alexander's life history.
Factual errors: When Peachy and Danny travel with the caravan into the Khyber Pass, all of the camels are African (Arabian) dromedaries, rather than Asian (Bactrian) beasts, which would have been used on the Central Asian trade routes. This however is due to the fact (as acknowledged in end-credits) that the film was shot at location in Morocco (in westernmost Africa) not in Pakistan/Afghanistan where these events supposed to have taken place.
Revealing mistakes: The avalanche footage was clearly shot at a ski area, as many ski tracks can be seen as the avalanche falls. Such tracks would be highly unlikely high in the Hindu Kush.
Revealing mistakes: In the introductory sequence, Arabic writing is visible on a wall, betraying the fact that the scene was filmed in Morocco.