Morjana Alaoui, the actress who plays Anna, broke three bones in her foot during the shoot when she fell 3 meters (9.8 ft) off a soundstage. She had to stay in bed for six weeks, and production was temporarily halted for over a month.
Mylène Jampanoï and Morjana Alaoui, the actresses who play Lucie and Anna, both accepted their parts after being impressed and affected by the screenplay; Jampanoï even took the role over her agent's reservations. In preparation for filming, the actresses did two months of rehearsals with director Pascal Laugier, and to keep them in a heightened emotional state during the shoot, Laugier kept them isolated from the rest of the crew. Both stated in an interview that they found the shoot so emotionally difficult that they would never work with the director again, with Jampanoï recalling: "Every night when I went back to my room, I just cried, because I was so physically and psychologically tired. All my scenes are violent." Though she respected Laugier's working style, she found him to be "as short-tempered as me... I have a huge amount of admiration for him... but we did end up clashing".
Director Pascal Laugier has confessed that he wrote the screenplay for the film in a state of clinical depression, bordering on suicidal thoughts, which is why the film is said to have a nihilistic and depressing subject matter. He added that he was inspired by seeing Eli Roth's Hostel (2005) to "make a movie about pain", but has strongly denounced his film's inclusion in the New French Extremity movement, a wave of French movies from the 1990s/2000s with explicit violent and sexual content.
In Pascal Laugier's previous film Saint Ange (2004), the main character is called Anna Jurin. In Martyrs, Anna is one of the female leads' character names, whilst Lucie Jurin is the other.