Many were shot in Spain! The Wikipedia link also notes some were shot in Italy, and one in Israel.

The answer to your question is literally on the link I posted. The reason that I posted the link was both to cite a source, and also to provide further information for anyone curious about it. If the future, please go ahead and just click a link when someone provides it!

Most spaghetti Westerns filmed between 1964 and 1978 were made on low budgets, and shot at Cinecittà studios and various locations around southern Italy and Spain.[12] Many of the stories take place in the dry landscapes of the American Southwest and Northern Mexico, thus, common filming locations were the Tabernas Desert and the Cabo de Gata-Níjar Natural Park, an area of volcanic origin known for its wide sandy beaches, both of which are in the Province of Almería in Southeastern Spain. Some sets and studios built for spaghetti Westerns survived as theme parks, such as Texas Hollywood, Mini Hollywood, and Western Leone, and continue to be used as film sets.[13] Other filming locations used were in central and southern Italy, such as the parks of Valle del Treja (between Rome and Viterbo), the area of Camposecco (next to Camerata Nuova, characterized by a karst topography), the hills around Castelluccio, the area around the Gran Sasso mountain, and the Tivoli’s quarries and Sardinia. God’s Gun was filmed in Israel.[14]