Mt. Olivet Cemetery as Mt. Olivet Cemetery
Finch and Shaw watch Carter's funeral where Paul and Taylor are mourning.
Source: Person of Interest — Wikia
Reese sets out on a mission of revenge against Simmons and the rest of the team must stop him from getting himself killed in the process.
Person of Interest episode “The Devil's Share” was filmed in New York, Yonkers, & White Plains in the United States of America.
Finch and Shaw watch Carter's funeral where Paul and Taylor are mourning.
Source: Person of Interest — Wikia
Shaw beats up some goons in a bar looking for Simmons.
Source: NYC Permits List
Reese crashes a truck into a car of criminals and he interrogates them about the documents they made for Simmons.
Finch and Fusco find Shaw interrogating the forger Yorke after Reese was done with him.
Source: NYC Permits List
Alonso Quinn is held in a motel by the U.S. Marshals when multiple groups assault the building.
Root has Shaw pull over and after they exit the car a U.S. Marshall comes around the corner and then Root leads the team up to the Marshall's position across from the motel where Quinn is being held.
Source: NYC Permits List
Fusco tracks Simmons down to the airport where he is preparing to leave on a private plane.
Elias visits Simmons in the hospital and has Scarface kill him.