Steps in front of the Police Headquarters

According to the Montreal Gazette, the scene where Danny Aiello walks down the steps in front of a building representing New York's Police HQ 10th precinct was filmed at the old Ecole Des Hautes Etudes Commerciales of the Université de Montreal in Rue Saint-Denis.

From the movie

Rue Saint-Denis Montreal (the number 1430 is the same as the movie)

Like several of the locations, the controcampo view (camera pointing towards the opposite side of the road away from the steps) was not suitable.
Again according to the Montreal Gazette this was filmed in Rue du Saint-Sacrement.

Rue du Saint-Sacrement

From the movie

Location Maps

Rue Saint-Denis Montreal

approx 2 km South of first location

Rue du Saint-Sacrement

The Federal Reserve bank

According to Frayling (STDWD p.452) the scene where Noodles is locked up in a prison was filmed in Montreal Canada. As posted previously, the NYS Reformatory For Boys is the Department of Sanitation & Environmental Protection building, Flushing Avenue, Brooklyn and the Prison is the Long Island City Court, Court Square, Queens.

What may have added to the confusion are statements by Jean-Pierre Ruh sound engineer on Once Upon a Time in America. He said that Leone made plans sometimes taking as reference a prison wall in Montreal, the counter shot being filmed in the city center.

Tonino Delli Colli has commented that Leone often wanted and sometimes needed to film a scene in two different locations. An obvious example is Noodles entering a Reformatory for Boys in Flushing Avenue Brooklyn whilst his friends watch from Main Street Dumbo.

Delli Colli: "The scene where Noodles picks up Deborah with the limousine is shot in part in Montreal : the exterior of the theatre is under the front roof of a hotel, but campo was in Montreal and controcampo in New York! Campo and controcampo mean, in Italian film language, the direction of the camera "vision". With campo you look at the actor, with controcampo you see the opposite side, that is what the actor would see from his point of view, at 180 degrees from campo. Now, imagine..campo in Montreal and controcampo in New York... and the light must be the same! 

One more example: policeman Aiello walks down the stairs, campo in Montreal and controcampo in New York! This was the case whenever the architecture around us did not allow to have campo and controcampo shot in one location. We had situations where, shooting campo, we were surrounded by period buildings, but turning around (controcampo) there was a hypermodern bank of glass and steel. This forced me to keep most precise records of all shooting conditions and the lighting involved, to make the blending of the separate takes possible at all. The scene where the balloons pop out of the water was not shot in N.Y. but in Venice, another lighting problem I had to take care of. Leone seemed to get a special craze and enjoyment in this locations fragmentation, it was as if he would exploit his fantasy world to an extremum."

According to Delli Colli they shot 300,000 meters of film for the movie and editing took 6 months whilst Jean-Pierre Ruh said that in its first version, the movie lasted six hours fifteen minutes (375 mins) and would have to go out in two parts. Jean-Pierre Ruh very much liked this version of 2 x 3 hours.

Probably the most famous prison in Montreal is the Bordeaux Prison

Through the entrance is an interesting looking building

In the movie, the Bordeaux Prison represents The Federal Reserve Bank