I'm not an Ontario resident, and actually only visited Toronto once over 20 years ago. And I never even heard of Markham before seeing this program. However, using screenshots from the show and Google maps streetview, I can identify the following locations with reasonable certainty. The numerical addresses are approximate, and subject to the limitations of Google maps. It is challenging and fun finding these places. Everyone please correct where necessary, and/or add more locations that you know about.
1. Police Station: King Street East and Virgin Place, Toronto
2. Beth’s Condominium: Approximate address 35 Mariner Terrace, Toronto
3. Felix’s Loft: Approximate address 483 Queen Street West, Toronto
4. Alley behind Felix’s loft: McDougall Lane, Toronto (between Queen St W and Richmond St W)
5. Site of Katja’s death: Unwin Avenue, Toronto, near North Shore Park and Hearn Generation Plant. Sarah’s frantic phone call with Cosima also occurs on the side of Unwin Avenue near the Power Plant.
6. Mrs. S’ house: Approximate Address 148 Morse St. Toronto.
7. Kira’s school: Morse Street Public School, across from Mrs. S’ house.
8. Alison’s house: Approximate address 35 Harper Hill Road, Markham, Ontario
The outside scenes are shot here. The indoor scenes, at least in the basement and back yard are most likely shot in a fabricated studio, as the structure of the real Harper Hill home does not seem consistent with a basement that opens up to ground level in the back yard. Also, the lattice structure of the wooden fence is clearly different in the Google street view images and in the television scenes. The scenes inside the house on the main floor could be the actual house, but are more likely in studio, with external views through open doors and windows added via projection screens or digital images from the real location.
9. Soccer Field where Sarah first confronts Alison: Angus Glen Community Center, 4075 Regional Road 25, Markham, Ontario. Note: satellite image in Google Maps is outdated and does not show the large gymnasium or rink structure near the soccer field. However, in street view at this address, you can see the large building.
10. The skating rink scenes with Alison, Aynsley and Chad, and the parking lot scene with Alison and Chad are also likely at the Angus Glen Center.
11. Helena’s first abode is approximately 43 Howard St, Toronto. The Ukrainian Landlady lives at/near 4 Glen Road, around the corner. Sarah chases the assassin (who turns out to be Helena) from the run-down Howard St apartment across Glen Road, through the dilapidated row houses across from the landlady’s place, into a vacant lot west on Redrock Lane.
12. Helena’s second hideout looks like an old church, but is actually a building on the University of Toronto campus, Knox College, 59 Saint George Street, Toronto.
13. Cosima’s house, which is supposed to be in Minneapolis, is the Annex Style house on the corner of St. Joseph Street and Elmsley Place, also on the U. Toronto Campus.
14. The “Scary Angel” house, where Helena performs “self surgery” is near 28 Bright Street, Toronto.
15. Maggie Chen’s apartment is in the Waverley Hotel, shown as being on Kensington St in the story, but is actually 484 Spadina Avenue, Toronto.
16. The scene where Helena stumbles into a dark alley and collapses is Douglas Campbell Lane, behind the Waverley Hotel. Behind the van waiting for Helena is the computer repair store near 292 College Street, Toronto.
17. The Carlsborough Hotel where Sarah impersonates Katja is the Thompson Hotel, at 550 Wellington Street, Toronto.
18. Fung’s Restaurant, where Sarah/Beth meets Art to go over the Maggie Chen case file is the Thompson Diner, on the corner of Wellington and Bathurst Streets.
19. Delphine meets Dr. Leekie in a limo outside the Michener Institute, on the corner of Elm and McCaul streets, Toronto (this is supposed to be in Minneapolis).
20. Paul’s meeting on the street with Olivier is near 235 The Esplanade, Toronto.
21. Sarah and Helena have lunch at Jim’s Restaurant, 897 Queen Street East, Toronto.
22. The outside shots of the hospital where Olivier meets his end near 197 Elizabeth Street, Toronto.
23. The alley where Helena takes Kira before Kira is hit by a car is near 934 Queen Street East. Sarah is standing outside the Mercury Espresso Bar across the street when the accident happens.