The launch of the Sun Probe at the start of this episode is the same event that was seen in flashback at the start of the episode "Sun Probe". The events of that episode take place one week after the launch, so this episode takes place immediately before. Indeed, "The Perils of Penelope" and "Sun Probe" can be viewed as Thunderbirds' only two-part story, although they have never been broadcast as consecutive episodes.
This is the only episode where the 'lifting sequence' of Thunderbird 2 revealing the pod is shown from the rear.
The second and last episode not to have an on-screen title. However, it is referred to in all production documentation by the title of the shooting script - The Perils of Penelope. Later airings showed the episode title in a different typeface to what was used in most other episodes.
This episode is the only episode in which we see Scott piloting Thunderbird 1 without his International Rescue uniform - when he returns from leave.
At 31.41, the gun in the Corningware dish is partly made from a car head lamp bulb. This becomes more evident in the ensuing gunfight in the Anderbad Tunnel where all the guns light up when fired.