As a child I was convinced this was filmed in Europe!
I was only 10 years old but I knew the difference between a movie set and location shooting. The sets to a young child were so good that I constantly questioned if the series was filmed in the USA.
Eventually I was convinced that it was filmed in old never rebuilt parts of war torn Europe. This impression of mine was further fostered by all the real European location footage shot for season 5.
The footage contained body doubles since none of the American actors were shipped overseas for any of the shoots. The editors spliced the footage into carefully blended shots done in California. Sets like courtyards were constructed in California to simulate the interiors of real castles and chateaus in France and Belgium.
I saw this all in a documentary on the show. Interesting.
This was pretty clever for a "lowly" budgeted TV show. The show still holds up today!