Bob Dylan doesn’t provide Martin Scorsese with any easy answers regarding his unorthodox 1975 tour of the Northeast and Canada billed as the Rolling Thunder Revue.

“I don’t remember any of it,” Dylan says, decades later, in “Rolling Thunder Revue: A Bob Dylan Story by Martin Scorsese,” the director’s new documentary on the tour. “What do you want to know?”

And with that, Scorsese blends the reality of a massive touring ensemble than included Joan Baez, Joni Mitchell, Ramblin’ Jack Elliott, Allen Ginsberg, Roger McGuinn and a 10-piece band with commentary and characters who supply oral histories that are equally illuminating and elusive about the actual truth. Rather than deliver a chronological document about America and Dylan’s tour in the fall of 1975, Scorsese allows the mystique to remain.

“The reason we have myths is because they are timeless and they speak to our human condition,” Scorsese told...