No, Downtown Abbey wasn’t filmed at Blenheim Palace, but it was filmed at many locations, that are Lincoln Castle, Highclere in Hampshire, Bampton Village in Oxfordshire, Helmsley in Yorkshire, Horsted Keynes in West Sussex, Alnwick in Northumberland, Lacock in Wiltshire, Witney in Oxfordshire, Reading in Berkshire, Beamish in County Durham, Rotherham in South Yorkshire, and Lincoln in Lincolnshire.