Took this from the IMDB,
Filming locations for
The 39 Steps (1935)
Big Water of Fleet Viaduct, Dromore, Gatehouse of Fleet, Dumfries & Galloway, Scotland, UK
Forth Bridge, South Queensferry, Edinburgh, Scotland, UK
Glen Coe, Highlands, Scotland, UK
Lime Grove Studios, Lime Grove, Shepherd's Bush, London, England, UK
One day I will visit the locations of "Scottish" films like "The Bridal Path", anyone remember that?
Especially the part when the hero runs away because the girls are Campbells.