Contrary to the title, the lady in this song belongs to no one. "She's nobody's child" and "the Law can't touch her at all." The song paints the picture of a powerful, independent, and creative artist, so in control of herself and her surroundings that "she never stumbles." Some of her powers are downright mystical, with lines like:
She wears an Egyptian ring
It sparkles before she speaks
Taken as a whole, the song suggests that the title is ironic, because if anyone belongs to anyone it seems that Dylan belongs to the woman, as he winds up in a state of supplication.
You will start out standing
Proud to steal her anything she sees
But you will wind up peeking through her keyhole
Down upon your knees
As the second track on the Bringing It All Back Home
album, the song's gentle softness contrasts sharply with the opening tune, "Subterranean Homesick Blues
This gentleness and sweetness is generally taken to be sincere, and the song is normally seen as a declaration of admiration and affection. There are some indications that there may be something else going on, though.
The woman seems to bring gloom to Dylan's life, as he sings, "She can take the dark out of the nighttime and paint the daytime black." The idea of someone reducing you to kneeling doesn't seem very romantic or appealing, either. There may be bitterness of this song hidden under the sweet veneer.
In both of Dylan's official lyrics collections and on his website, the word "Law" is capitalized in the line "the Law can't touch her at all."
As used in common parlance, "law" should be lowercased. The capitalization of the word suggests that it may refer to the biblical law, which isn't much of a stretch because Dylan has been peppering his music with biblical allusions since Day One. If true, this elevates the woman in question to even greater heights, as she's immune even to God.
The Velvet Underground's John Cale has long said that the woman in the song is German supermodel and VU singer Nico (who also was close with Jim Morrison of The Doors). Dylan and Nico met in Paris is 1964, less than a year before this song was recorded, and she traveled with Dylan throughout Europe.
Others have said the song's subject is Caroline Coon. Coon was an avant-garde artist, a feminist leader, and one of the driving forces behind the 1970s punk scene.
Joan Baez is yet another suspected culprit. She and Dylan were in a relationship in Dylan's early career. She was also instrumental in launching his career, as she was a star while he was an unknown. Dylan gave Baez an Egyptian ring once ("She wears an Egyptian ring, it sparkles before she sleeps"). The line, "She never stumbles, she's got no place to fall," may point to how Baez was an icon of the politically minded folk movement, and as such could never break from that role without losing her audience.
Still other sources have said the woman in question is no specific person at all, but instead Dylan's muse.
In concert, Dylan usually played this song on pedal steel guitar.
Dylan recorded the song on January 14, 1965, at Studio A at Columbia Recording Studios. Five takes were done; the first two were acoustic and the last three with a full band. The second of the band takes became the final.
The song's working title was "Worse than Money" (which bolsters the idea that the song hides bitterness) and then "My Girl."
In addition to being the second track on Bringing it All Back Home, the song is on Bob Dylan's Greatest Hits Volume II and was in the 2005 Martin Scorsese film No Direction Home. A live version is on Self Portrait from 1970.
This is the first song Dylan and his band played at the (in)famous May 17, 1966 concert at Manchester's Free Trade Hall in England, when a fan cried out "Judas!" during a lull in the music.