Confidence votes 243K. Passionate about all things Australian. Most of Dances with Wolves was filmed in South Dakota, but a few scenes were filmed in Wyoming. Locations included the Badlands National Park, the Black Hills, the Sage Creek Wilderness Area, and the Belle Fourche River area.The buffalo hunt scenes were filmed near Pierre, South Dakota.onfidence votes 243K. Passionate about all things Australian. Most of Dances with Wolves was filmed in South Dakota, but a few scenes were filmed in Wyoming. Locations included the Badlands National Park, the Black Hills, the Sage Creek Wilderness Area, and the Belle Fourche River area.