The film was first shown on television in both the United States (as part of the American Masters series on PBS) and the United Kingdom (as part of the Arena series on BBC Two) on September 26–27, 2005. A DVD version of the film and accompanying soundtrack album (The Bootleg Series Vol. 7: No Direction Home: The Soundtrack) were released that same month.
The project began to take shape in 1995 when Dylan's manager, Jeff Rosen, began scheduling interviews with Dylan's friends and associates. Among those interviewed were poet Allen Ginsberg and folk musician Dave Van Ronk, both of whom died before the film was completed. Dylan's old girlfriend Suze Rotolo also granted a rare interview, and she later told Rolling Stone that she was very pleased with the project's results. Dylan himself also sat for ten hours in a relaxed and open conversation with Rosen in 2000. Other interviews with those who knew him at the time include Joan Baez, Pete Seeger, Liam Clancy, Maria Muldaur, Peter Yarrow and promoters like Harold Leventhal.
According to Rolling Stone, an unnamed source close to the project claimed that Dylan himself had no involvement with the project apart from the interview, saying that "[Dylan] has no interest in this . . . Bob truly does not look back." However, work on the first installment of Dylan's autobiography, Chronicles, Vol. 1, did overlap production of the project, though it's unclear how much, if any, influence Chronicles may have had on No Direction Home.
Though raw material was being gathered for the project, Rosen needed someone to edit and shape it into a quality motion picture, and celebrated filmmaker Martin Scorsese was approached to direct the documentary planned from the project. Scorsese eventually agreed and came aboard in 2001.
In the meantime, Dylan's offices gathered hundreds of hours of historical film footage dating from the time covered in No Direction Home. These included a scratchy recording of Dylan's high school rock band, his 1965 screen test for Andy Warhol, and newly discovered footage of the famous Manchester Free Trade Hall concert from May 17, 1966, when an angry fan called out "Judas!" just before Dylan and The Hawks performed "Like A Rolling Stone." Shot by D.A. Pennebaker, the onstage color footage was found in 2004 in a pile of water-damaged film recovered from Dylan's vault.
The cover photo on the DVD package, by Barry Feinstein, shows Dylan standing in front of the Aust Ferry terminal in Gloucestershire, England, in May 1966, shortly before the opening of the Severn Bridge which replaced the ferry.
The film received positive reviews from film critics, as review aggregate website Rotten Tomatoes reported that 93% of critics gave the film positive write-ups, based on 14 reviews. Critic Roger Ebert gave the film 4/4 stars, stating that it "creates a portrait that is deep, sympathetic, perceptive and yet finally leaves Dylan shrouded in mystery, which is where he properly lives". The film received a Peabody Award in April 2006 and a Columbia-duPont Award in January 2007, and Martin Scorsese received a Grammy Award in direction for best long-form video.
The documentary, describing the 1960 New York folk scene, served as an inspiration to Justin Timberlake for his part in the Coen brothers' related drama Inside Llewyn Davis (2013).