On shooting a period piece on HD: "The challenges of it and the reason to do it was how I wanted it to fall upon you, the audience. I wanted the relationship with it to you, I wanted it to be contemporary to you. In other words, I didn't want to look at 1933, I wanted to be in 1933. I wanted you to feel that this is real. That I get what it's like to walk down the sidewalk and go to a movie ... Just to feel, 'Yeah, I get what it means to be alive then.' Just like you do right now. Not like an event that happens to characters in period dramas. That was exactly the antithesis of what I wanted to do. So that's hi-def. I planned on shooting in film until I did a side-by-side test. And when I saw the test, I felt that I could touch this black Buick in the rain at night. I could feel the current and the contemporary."

On music for the film: "[I think about] music all the time, and as early as possible. Music becomes a poetic code of ways of feeling and modes of thinking and it tells you how people were. And you can listen to Billie Holiday and imagine having that music reproduced with contemporary acoustics to imagine what she really sounded like live, or if you could record that digitally ... then you really get a sense of it. And Johnny Depp, who started as a musician, and is quite a musicologist, and has a great knowledge of that period, we started exchanging CDs. And I got very interested in older music."

On what Dillinger was thinking before he died: "I elected to tell a story that [postulates]: What's Dillinger thinking in the Biograph [the theater in which he was watching a movie before he was shot and killed]? What was he thinking before he walked out and was going to get killed? When seeing Clark Gable as Blackie [in 'Manhattan Melodrama'], did this really pose questions to him, and almost sent him messages? And Gable's character Blackie is derived partially from Hollywood's take on John Dillinger, because he was the most famous person in the United States at that time. You can't make a movie about will he or won't he survive the Biograph; this movie had to be something else. Which is: What is going on inside of him? What's the inner life? Is he thinking about [his girlfriend] Billie? Is he thinking about the future? Why has he never thought about the future? What does he think about death? Is he thinking about how Ernest Hemingway was, the way Hemingway was writing right then and there about death? Does he look death right in the face just like how Hemingway writes 'Death in the Afternoon'? Dillinger was up with what was going on culturally. That to me became a survival story. Then that means the story is not Will Purvis get Dillinger? Will Dillinger get Purvis? So in that sense, this became a very different course.