The exon-exon junction complex (EJC) forms via association of proteins during splicing of mRNA in a defined manner. Its organization provides a link between biogenesis, nuclear export, and translation of the transcripts. The EJC proteins accumulate in nuclear speckles alongside most other splicing-related factors. We followed the establishment of the EJC on mRNA by investigating the mobility and interactions of a representative set of EJC factors in vivo using a complementary analysis with different fluorescence fluctuation microscopy techniques. Our observations are compatible with cotranscriptional binding of the EJC protein UAP56 confirming that it is involved in the initial phase of EJC formation. RNPS1, REF/Aly, Y14/Magoh, and NXF1 showed a reduction in their nuclear mobility when complexed with RNA. They interacted with nuclear speckles, in which both transiently and long-term immobilized factors were identified. The location- and RNA-dependent differences in the mobility between factors of the so-called outer shell and inner core of the EJC suggest a hypothetical model, in which mRNA is retained in speckles when EJC outer-shell factors are missing.