Do to the primitive Technicolor process of that time, the set had to be very brightly lit. The entire movie was made inside on sound stages. Later Technicolor developed cameras that could be used outside in natural light. Those cameras were developed while the movie was in production and by then was too late to use on The Wizard Of Oz. Even Kansas was filmed indoors on soundstages. There is one shot though that was filmed outdoors, and that is the clouds behind the opening and closing credits.