Yes, it was filmed in Rumania, probably to save money. The natural scenery (woods, fields, streams) seem very authentic, though. And the buildings and towns (cabins, barns, stores, churches etc.), and vehicles ( horse-drawn wagons and carts) also seem to reflect the late 1800s backwoods Kentucky-West Virginia area. The main actors and actresses are mostly all American, but the extras (soldiers, townspeople, and a few of the minor characters) I think are played by Rumanians.
Rumania is located in the Carpathian Mountains area, which is probably pretty similar to the American Appalachians.
It's not completely historically accurate, but it's pretty close. I think it's the best work that Kevin Costner has done in years, he seemed to capture the essence of Devil Anse. I knew Tom Berenger was going to be in it, but I couldn't even recognize him till I looked up the cast-list on IMDB, and realized he was mean, decrepit old Jim Vance. Nick Dunning's character (the Reverend) I also barely recognized, I tend to identify him as Lord Thomas Boleyn on 'The Tudors'. I thought at the beginning that Matt Barr, a typical Hollywood pretty-boy, was completely miscast in the role of eldest Hatfield son Johnse , but as the series went on, I think he actually did a decent job. Powers Boothe did an admirable job as rough old Justice of the Peace Wall Hatfield, dispensing his irregular but practical brand of backwoods justice. Mare Winningham, whom I hadn't seen in years, was very good as 'Aunt Sally' McCoy. The actress who played Levicy Hatfield, though, I thought was a little too sophisticated and pretty for her role. I think the miniseries may make a star out of the Pulsipher girl who played shy but stubborn Roseann McCoy. The younger Hatfield and McCoy sons and daughters, played by heretofore unknown actors and actresses, were also good, they showed a nice blend of bravado and vulnerability.