The opening sequence showing the Edinburgh Express preparing for departure uses very short clips from Rome Express (1932).
One of several titles in the Sherlock Holmes series whose original copyrights were apparently not renewed and have thereby fallen into public domain; as a result, seriously inferior copies are presently being offered by a number of DVD dealers who do not have access to original studio masters. Terror by Night (1946) is one of four films films in the series which are in the public domain. Terror by Night (1946) is available for free download at the Internet Archive.
Alan Mowbray had previously appeared in two other Sherlock Holmes movies--Sherlock Holmes (1932) and A Study in Scarlet (1933). Alan Mowbray, who plays Maj. Duncan-Bleek, played Lestrade to Reginald Owen's Holmes in the 1933 production of A Study in Scarlet (1933).
Holmes tells Watson that Lestrade is giving a perfect imitation of Izaak Walton. Walton was an English writer of the 17th Century and wrote the book; "The Compleat Angler."
The stolen teapot appears to have come from the Beacon Hotel.