"Stefan van Dorp" does not exist in real life and was created for this movie. He is played by Bette Midler's husband, Martin von Haselberg.
According to the New York Times, several of the interviews are staged, fake or scripted, including multiple clips featuring Sharon Stone and Michael Murphy, playing his character from the HBO Miniseries Tanner '88 (1988).
The bulk of the film is compiled of outtakes from Bob Dylan's film Renaldo et Clara (1978), which was filmed in conjunction with the tour.
The project came from Bob Dylan's manager, Jeff Rosen, who approached Scorsese with some of the tour's footage shortly after the completion of No Direction Home: Bob Dylan (2005).
The movie in the beginning is Escamotage d'une dame au théâtre Robert Houdin (1896) (also known as "The Vanishing Lady") by Georges Méliès.