New York Police Department-branded cars and American-style traffic lights have temporarily taken over Newport Road.
Diversions meant morning commuters faced some delays to journeys.
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The filming is taking place outside the Mercure Holland House Hotel and within the hotel itself, which has remained open for guests.
Infinite, directed by Antoine Fuqua, is about a man who discovers his hallucinations are visions from past lives.
It is due to be released next year.
Some people were delighted to think they might spot one of the US's most recognisable actors - including Bethan Price, who tweeted: "This morning's walk to work has been enlivened by the filming of @markwahlberg's new film Infinite.
"Sadly no glimpse of the man himself."
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The film starring Mark Wahlberg, seen here in a scene from 2018 movie Mile 22, is due out in 2020
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The closure may only be affecting about 300 yards of road but it has involved bus and traffic diversions, leading to delays in the area.
Some commuters were not impressed with the disruption, despite the glitz of Hollywood coming to town.
Shaun M Leach tweeted: "Good job, but dude your movie is blocking my bus route to work."
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