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According to The Cinemaholic, the show was filmed at Dockland Studios in Melbourne, Australia in 2021. Lucky locals got the chance to attend show tapings for free, so Come Dance With Me would have a live and authentic studio audience cheering on the contestants.
Per the same report, filming was initially meant to take place in Los Angeles. The production relocated to Melbourne due to gathering restrictions in Los Angeles amid the COVID-19 pandemic when Come Dance With Me was shot.
Source: https://www.distractify.com/p/where-is-come-dance-with-me-filmed
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