While the exterior was shot in Los Albaricoques, the interior was shot in a building in Tabernas, just outside of the El Paso set (now the tourist trap Mini-Hollywood).
Mortimer meets Manco
Sadly, the building is now in a complete state or ruin. The roof has recently collapsed, but once carefully entering, you can still make out the areas where everything took place.
Mortimer is spotted. A wall was later added , but the foreground remains the same.
Mortimer prepares to shoot Wild
Surprisingly this location was used again for Day of Anger, where LVC once again enters the same building in Los Albaricoques, but ends up here for the interior shots. Most of the action was shot on the opposite side wall of the room than in For a Few Dollars More.
The tavern as it appears in Day of Anger
Below are some addition photos of the location. Click to enlarge.