The Finnish movie, to which Man with Guitar (Sir John Hurt) refers, is The Bohemian Life (1992) by Director Aki Kaurismäki, a friend of Writer and Director Jim Jarmusch.
Several lines of dialogue spoken by The Blonde (Tilda Swinton) are taken from an essay Swinton wrote about film titled "A Letter to a Boy from his Mother".
The Lone Man visits the Reina Sofia Museum in Madrid four times to see four paintings: The Violin (1916) by Juan Gris, Nude (1922) by Roberto Fernández Balbuena, Madrid desde Capitán Haya (1987-1994) by Antonio López and Gran Sábana (1968) by Antoní Tapies.
When The Blonde (Tilda Swinton) talks about a swooping bird in a room full of sand, she is referring to a scene in Stalker (1979).
The atmospheric music for the film was written by the Japanese band Boris.