In several street scenes in season one, Toronto streetcars (red, black and white) are clearly shown, and tracks are also visible in the streets.
The opening scenes were shot in Pittsburgh, PA, on Grant St. The building is the Allegheny County Courthouse, where you can clearly see the bronze statue of Former Mayor Richard Caliguiri. Additionally, you can see a street sign that says "Fourth Avenue." Manhattan has no Fourth Avenue, nor does it have street signs in that typeface.