Excitement builds as more pictures emerge of Peaky Blinders set in East Lancashire MORE pictures have emerged from the Rossendale set of hit TV series the Peaky Blinders, as East Lancashire looks to welcome members of the cast for filming. A traditional gypsy camp complete with wagons and other vehicles appears to have been set up in Lee Quarry, where filming is expected to start in the coming days. Credit: Charlie Wood Others have reported seeing an old graveyard being built in the area, with headstones and crosses hinting that cast and crews may be filming some emotional scenes in the area following a death.