The scenes showing Kevin, Kate and Randall when they were young were filmed several years before the rest of the episode. Because the kids would grow they carved out a week and filmed the past part of the finale while they were doing the third season.
Because it was the last episode several cast members videoed the last couple days and uploaded it onto Twitter and Instagram. Milo Ventimiglia went around and showed behind the scenes people as well as showing the last scene he shot with on-screen wife Mandy Moore. Sterling K. Brown took videos of his on screen siblings. He shot Chrissy Metz saying that that she wouldn't cry and as well as Justin Hartley joke that they could just not show up for the last couple days so the show could go on for longer.
This is the series finale.