Where are the Harry Potter movies filmed?

The are filmed in England (Leavesdon Studios is where a lot of it is filmed) and parts in Scotland. The parts that are film in Scotland are places like Hagrid's Hut and Hogwarts.

Some scenes were filmed in London (Gringotts, some school scenes filmed there) including Kings Cross which was used as stated in the book itself.

Goathland railway station in North Yorkshire was a principal filming place.

Alnwick Castle in Northumberland and Gloucester Cathedral were the main settings for Hogwarts in the first few movies.