Abridged from Wikipedia

The original video for Subterranean Homesick Blues was actually the opening segment of D. A. Pennebaker's film, Don’t Look Back (1967), a documentary on Dylan's first tour of England in 1965. The video takes place in an alley behind the Savoy Hotel in London where poet Ginsberg and Neuwirth make a cameo in the background. In addition to the Savoy Hotel video, two alternate videos were shot: one in a park where Dylan, Neuwirth and Ginsberg are joined by Tom Wilson, and another shot on the roof of an unknown building (possibly the Savoy Hotel). A montage of the videos can be seen in Martin Scorsese documentary No Direction Home (2005).