Most of this movie was made in and around Superior Arizona. Some scenes are from Globe Arizona. The steep cliffs shown in numerous scenes is called Apache Leap. Ironic being this movie and series was based on the Navajo Indians. The Movie U Turn was also famously filmed here as well.
The books are all set on the Navajo Reservation in the Four Corners area of Utah, New Mexico and Arizona, where the three states meet, it is several thousand square miles and contains not just Navajo, but Zuni, Ute, Hopi just to name a few of the tribes inhabiting the reservation.
Of the actors in this film, who have their tribes listed in their biographies on IMDb, none are actually Navajo, as are the majority of the characters in the movie. If you read the books, each tribe has very distinct physical features that make them easily distinguishable among other Indian people. There were several of the supporting cast did not include their tribal affiliations in their IMDb biographies, but the two main actors are not Navajo.
In an interview on the dvd release, Chris Eyre explained the importance of building trust with the local community when telling these types of stories: "It's always an interesting situation going to a reservation and shooting, just because I think you have to know where you can forget the bureaucracy and where you have to adhere to the standards of what the community is really about. And a filmmaker of color, you have to really get down and just relate to people well, you know like any good filmmaker. There's also a responsibility that I have as an Indian to those communities."