As Steed and Mrs. Peel await the arrival of the Prime Minister in the last scene, she says "No, he's the one in the raincoat." This is a reference to the then Prime Minister, Harold Wilson, who was often photographed wearing a raincoat.
Near the end, as Steed and Mrs. Peel await the prime minister, they kid about future honors to be awarded to them, with Mrs. Peel asking archly, "Sir John Steed?" and Steed replying with a smile, "Dame Emma." Two decades later, Diana Rigg was made a Commander of the Most Excellent Order of the British Empire (CBE); then, in 1994, Rigg was made a Dame Commander of the Most Excellent Order of the British Empire (DBE), making her Dame Diana if not actually Dame Emma.
A Funny Thing Happened on the Way to the Forum (1966) was released the year before this episode aired. That highly successful movie was the film adaptation of the 1962 hit play of the same title.
In the train compartment, Steed is reading a book called "Cheaper Tackle" by Dr. Robert Bruce.
The newspaper Mrs Peel is reading on the train, around 39:56, is dated Friday, March 3, 1967.