'The Lone Ranger' -- Multi-Million Dollar Set ... In the Middle of Nowhere

The Lone Ranger is gonna have to travel a LOOOOONG way to catch bad guys ... 'cause brand new video shows the set for the new movie is MILES from any sort of civilization.

Producers have erected an authentic-looking old west town in the middle of the New Mexico desert ... complete with a saloon, a jail and a real functioning railway.

Price was no object ... the budget for the movie, featuring Johnny Depp and Armie Hammer, is reported to be north of $200 MILLION.