In Harry Potter and the deathly hallows part 1 the Horse Guards Avenue is the filming location for the entrance of the Ministry of Magic. The entrance in this film was through public toilets in the middle of the road. It’s here that Harry, Ron and Hermione are Ministry of Magic employees after using the polyjuice potion. The toilets don’t exist – it was added for the film. The scene is shown looking west along Horse Guards Avenue.