“The Cold War” Filming Locations
Samaritan seizes control of the city to send a message to the Machine.
Person of Interest episode “The Cold War” was filmed in New York & New Rochelle in the United States of America.
Cantina Corsino Italiana as Corsino
Reese is observing their latest Number when she is approached by the Samaritan agent Jeremy Lambert who kills her abusive husband for her.
55 Exchange Place as Greer's Command Center
Greer runs operations for Samaritan from a building across from the stock exchange.
Nassau Street (between Cedar & Pine) as Root talking to Jeremy Lambert
Root has a pointed conversation with Jeremy Lambert about what Samaritan is up to.
Rutherford Place (between 16th & 17th) as Reese in Traffic Jam
Reese walks through a traffic jam while talking to Finch before ducking into the nearby park.
Stuyvesant Square as Reese in Park
Reese ducks into a park while talking to Fusco on the phone.
West 155th Street & Bradhurst Avenue as Fusco's Car Chase
Fusco calls Reese and asks for help in the middle of a car chase.
West 155th Street (between Frederick Douglas & Harlem River) as Continuing Car Chase
Fusco continues to talk to Reese on the phone while chasing a perp.
South William Street (between Coenties & Beaver) as Assassination in Soho 
A young Greer loses another agent taking out a target who he manages to take alive.
William Street (between Pine & Wall) as Root in Traffic Jam
Root talks to Shaw about the deteriorating city while making her way through a traffic jam.
Liberty Street (between William & Gold) as Murdered Witness
Fusco calls Finch from where someone from witness protection was murdered.
St. George's Episcopal Church as Church
Root meets with Jeremy Lambert while Martine and Reese cover them both.
Blessed Sacrament-St. Gabriel High School as New Rochelle High School (exterior)
Root heads to a school in New Rochelle to talk with Samaritan's proxy.
South Street (between Market & Pike) as Two Bridges Murder
Reese meets Fusco at the scene of another murdered witness and gives him a list of more names to protect.
Thames Street (between Trinity & Broadway) as Root on Wall Street
Root takes a call from Finch about Shaw's departure while she heads to Wall Street.