Filming took place in Ewer Street and the adjacent car park off Great Suffolk Street on Monday 15 February while the streets were still covered in snow.
Market stalls erected in Ewer Street displayed prices in euros and notices were in German to simulate the book's Viennese setting.
Amazon Studios' All the Old Knives is based on the novel of the same name by Olen Steinhauer.
Directed by Janus Metz, the film's cast is headed by Chris Pine, Thandie Newton, Jonathan Pryce and Laurence Fishburne.
Other London filming locations included the British Museum.