Cruise, wearing sunglasses and a casual shirt, waved as he got off a private jet at the local airport Thursday afternoon.
Austrian broadcaster ORF reports that Cameron Diaz, Cruise's co-star, has been in Salzburg since Tuesday.
"Knight & Day" is directed by James Mangold and is due to be released next summer.
The Salzburg film shoot is expected to last less than a week. Earlier this month, hundreds of locals tried to snag spots as extras.