The film "I'm Not There" is an examination of Bob Dylan's life and career through the different stages of his personal and professional development and what he represented in these different stages. I would also argue that the film demonstrates the aspirations and goals Dylan personally had during these stages of his life.
The little boy represents Dylan's beginnings from his childhood to his emergence as his own man. The boy is portrayed as a complete outcast from his own and on the run from his roots. He seems aloof from society, yet has the capacity to understand the dilemmas and issues in his time in a very profound way. The boy assumes the identity of famous folk musician Woody Guthrie, who in reality was one of Dylan's biggest influences and passions. The boy is even African American to further show how disconnected Dylan felt from his roots and place in the world. He is searching for his own identity and his own voice.
Jack Rollins is the identity that Dylan finally developed and choose to show the world. He applied the lessons that folk music and Woody Guthrie had shown him and made them relevant to the present state of humanity. He became an icon, a poet and artist, and a voice of the people. But soon the pressure of this began to deteriorate his passion and desire.
Jude and Heath Ledger's characters now appear and they both struggle with who they are, who the world thinks they are, and who they want to be. They cannot satisfy both themselves and the mass fans they have acquired. Both characters are selfish and naive to just how much power they have in a controversial society. People call this the "sell out" phase of Dylan's life, but I think its more a phase of his confusion for his role and continued desire on the path he has chosen. The fact that a woman, Cate Blanchet, also plays the roll of Dylan at this stage seems to only enhance the confusion of Dylan's identity and truthfulness to himself.
An old and worn out Billy the Kid now takes the roll of the present day Dylan. Once again aloof and on the run, he assumes a fake identity and is thought to be dead by most. Once a legendary and famous gunslinger, his life now revolves around staying hidden and enjoying the small things he has left in life. This speaks to Dylan in a way, who has distanced himself from society more and more over the years. A legend as big as Billy the Kid, he has somewhat closed the book on that life and seeks refuge away from the limelight.