The TV series "The Last Frontier" was primarily filmed in Canada, not in Alaska where it is set. The main filming locations were Montreal and other parts of Quebec, including Quebec City and the Laurentians region, where the winter and wilderness conditions closely resembled Alaska. Additionally, some filming took place in Alberta, including Calgary, to capture more dramatic snowy wilderness scenes. Filming started in early February 2024 and extended through late 2024, with the Alberta shoots happening in November 2024. These Canadian locations provided the necessary landscapes and film infrastructure to convincingly stand in for Alaskan settings.

If the question refers to the 1955 film "The Last Frontier," it was filmed in Mexico, specifically around the Popocatépetl Volcano in Puebla.