The exterior and interior of the house shown in Lost Girl season 4, episode 3 ("Lovers Apart") looks nearly identical to Olivia Godfrey's house in Hemlock Grove, season 2.
Was the same location used?
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Yes, they both used Eaton Hall, a large stately house in Ontario, Canada as one of their primary filming locations. Note the distinctive fireplaces and stained glass windows.
Eaton Hall has been used as a set for various Canadian-made productions such as "Death Weekend", "Mrs. Winterbourne" and the final scene of the film "A History of Violence".