It is understood that The Shore, New Kirkgate, Princes Street Gardens and St Cuthbert's Church will be among a host of locations across the city used by producers.
Crew working on the series, which stars Mark Bonnar and Jamie Sives, had previously been filming in Glasgow since November 2020.
On Sunday, Leith Links Community Council forewarned local residents that the filming may “slightly affect traffic flow at times”, and might also impact parking, “while a few small areas may be blocked off from pedestrians.
Last week, it was reported that streets in Glasgow were standing in for those of Chigaco for the series.
Photos showed Chicago Police patrolling the location, and yellow taxis on the roads.
A bar was given a mocked-up sign called “The Edinburgh Castle” and American flags hung from buildings.