The park is owned and operated by the National Park Service, which closed the area Tuesday as part of the shutdown.
The group, 3rd Partner Pictures, behind "Western Religion" was scheduled to begin shooting at the end of the month, but opted to change locations, Louie Sabatasso, a producer for the film told Variety.com.
“When you are an independent filmmaker, you are a problem solver by trade,” Sabatasso told the website. “But I think a lot of people are looking at this government shutdown and figuring out something else.”
Another film, "1885" was set to begin shooting Monday, but it is not clear when there will be an end to the shutdown.
In the past, films such as the "Gunfight at the O.K. Corral" and "The Virginian" were shot there.