The major part of the set that you can see is, obviously, the temples, etc... around the "forum." There are no interiors open. The buildings appear to be constructed from a combination of light wood and fiberglass, all finished to look (even pretty close up) like stone. But we were there on a windy day - - the tall columns were literally moving in the wind. It was a funny reminder that it was all made up, but in a very skillful way!
The "Egypt close to Rome" picture (right) just made me laugh. In the series, the events take place across the Mediterranean from each other. On the set, there is a Roman house literally connected to the door into Pharaoh's palace.