It’s like Blade Runner, but in the MCU.
Sam, Bucky and Zemo walk across a pedestrian bridge in Madripoor, and enter the courtyard of low-town.
These shots were also filmed at State Alley, in Griffin, GA, utilizing almost the entire length between E. Taylor and W. Solomon. Looking closely you can see some of the same architecture from the Munich sequence at the beginning of the episode. The series really got double-duty out of this location, by filming at night, adding neon lights, and some different set decorations.
(The Falcon and The Winter Soldier S01E03, 2021)