The filming of Thelma and Louise is pretty straightforward. We have one perspective following two friends on their so-called road trip, while another lens follows Hal while he tries to figure out where these two friends are and how he can help them.
The setting, though it appears to be Arkansas, Oklahoma, Colorado and Arizona, is mostly L.A. and, at times, Utah. In all cases, it's pretty convincing. What's important about the two narrative arcs is that we get the sense there's someone rooting for these women. It just sucks that Hal can't do much to help them. All three main characters—Thelma, Louise, and Hal—are trapped in a system that is bigger than they are.