Allen used newsreel footage and inserted himself and other actors into the footage using bluescreen technology. To provide an authentic look to his scenes, Allen and cinematographer Gordon Willis used a variety of techniques, including locating some of the antique film cameras and lenses used during the eras depicted in the film, and even going so far as to simulate damage, such as crinkles and scratches, on the negatives to make the finished product look more like vintage footage. The virtually seamless blending of old and new footage was achieved almost a decade before digital filmmaking technology made such techniques in films like Forrest Gump (1994) and various television advertisements much easier to accomplish.  The film uses cameo appearances by real figures from academia and other fields for comic effect. Contrasting the film's vintage black-and-white film footage, these persons appear in color segments as themselves, commenting in the present day on the Zelig phenomenon as if it really happened. They include essayist Susan Sontag, psychoanalyst Bruno Bettelheim, Nobel Prize-winning novelist Saul Bellow, political writer Irving Howe, historian John Morton Blum, and the Paris nightclub owner Bricktop.  Also appearing in the film's vintage footage are Charles Lindbergh, Al Capone, Clara Bow, William Randolph Hearst, Marion Davies, Charlie Chaplin, Josephine Baker, Fanny Brice, Carole Lombard, Dolores del Rio, Adolf Hitler, Joseph Goebbels, Hermann Goring, James Cagney, Jimmy Walker, Lou Gehrig, Babe Ruth, Adolphe Menjou, Claire Windsor, Tom Mix, Marie Dressler, Bobby Jones, and Pope Pius XI.  In the time it took to complete the film's special effects, Allen filmed A Midsummer Night's Sex Comedy and Broadway Danny Rose.

Answer this question "How did they make the film look like newsreels of the 1920s?" by extracting the answer from the text above.
Allen and cinematographer Gordon Willis used a variety of techniques, including locating some of the antique film cameras and lenses used during the eras