At first approach, Cat Power Sings Dylan is as straightforward as covers albums come. Marshall performed the music live, following every contour of Dylan’s set, down to his switch halfway through from solo acoustic performance to rollicking full-band rock. She didn’t tinker much with his arrangements: If a given song, in Dylan’s rendition, begins with an instrumental vamp or ends with a harmonica solo, it probably does in Marshall’s version as well. But after a while, the meticulous literalism of her interpretation comes to seem like its own conceptual gambit. When the similarities are so pronounced, the differences, when they inevitably occur, capture your attention. In the decades since 1966, Dylan’s performance has been enshrined as a pivotal moment not just in his own career but in pop music’s history, proving that rock stars were artists who could challenge their audiences, not just satisfy or entertain them—a single unruly evening standing in for a generational shift. Marshall’s treatment of the concept, from the title and location on down, comes across as both an earnest tribute to the “Royal Albert Hall” show and a probing investigation of its legend.