On its most basic level, "Cold Irons Bound" is a song of lost love, with Dylan pining for a woman who has left him. She's rejected him completely, but he's also singing about her while he's "20 out of town in cold irons bound," with "cold irons" presumably referring to shackles.
Like much of Dylan's music, there may be something deeper at play. The song has some truly evocative, haunting lines, including:
I'm beginning to hear voices, and there's no one around
I'm waist deep, waist deep in the mist
It's almost like, almost like I don't exist
Well, the road is rocky and the hillside's mud
Up over my head nothing but clouds of blood
In the first verse, Dylan mentions going to church and having this nameless love pass him by. Given his penchant for religious imagery and ideas, this detail may not be insignificant. The woman he's yearning for may not be a woman at all. Dylan's not said anything one way or the other.
U2 producer Daniel Lanois produced this song with "Jack Frost," which is the pseudonym Dylan used for decades when producing his own music.
Lanois, who was introduced to Dylan by Bono in the late '80s, previously worked with Dylan on his album Oh Mercy in 1989. The heavy Lanois-engineered atmosphere heard in "Cold Irons Bound" can also be heard in the Oh Mercy tracks, especially "Man In The Long Black Coat."
Dylan won the 1998 Grammy Award for Best Male Rock Vocal Performance for this song.
Dylan performs the song live on the 2003 Larry Charles film Masked and Anonymous, which stars Dylan as a musician named Jack Fate.