Three different Bermuda locations were combined to create Romer Treece's ( Robert Shaw ) Saint David's Lighthouse. These were: Coney Island, Bermuda , Bermuda's Royal Naval Dockyard , and, The real Saint David's lighthouse on Bermuda's Saint David's Island . To avoid confusion there is a real Saint David's Lighthouse at Saint David's Island in Bermuda, which is where Peter Benchley 's novel The Deep is set. However, the majority of the movie's exterior Saint David's scenes were filmed instead at Coney Island, Bermuda. We'll look at all three locations in detail below. Coney Island An exterior facade, which explodes at the end of the film, once existed at Coney Island, Bermuda. The location does not have a specific postal address but the set lay on top of Coney Island hill approximately 100 metres from the Department of Environmental Protection, Marine Resources cottage at 3 Coney Island Road, Saint George, Bermuda, CR 04 ...