It was indeed filmed on an actual asteroid. The actors underwent months of training for the film. Bruce Willis and Ben Affleck have made multiple space voyages since the filming of Armageddon. Of course, no actors were harmed in the making of the film.

Little known fact: Steve Buscemi was considered one of the most attractive actors of his time before the filming of Armageddon. A tragic accident involving a cracked helmet on the actor's space suit caused facial deformation.