A New York Times article described the film's unconventional take on the documentary style by noting that it "skates along an icy edge between dreams and lucidity, fact and fiction, cinema and psychotherapy".

Maddin then describes Winnipeg in general terms, introducing it to the viewer, noting primarily its location at the junction of the Red and Assiniboine rivers, a place known as "the Forks".

Maddin regales the viewer with one of the film's many suspect historical "facts" about Winnipeg: "the Canadian Pacific Railway used to sponsor an annual treasure hunt [that] required our citizens to wander our city in a day-long combing of the streets and neighbourhoods.

The "family" gathers to watch the television show LedgeMan, a fictional drama in which "the same oversensitive man takes something said the wrong way, climbs out on a window ledge, and threatens to jump."

The film recounts the conditions of the 1919 Winnipeg General Strike, a real-world event with international significance, before returning to the family re-enactments, including Mother's suspicion of Janet Maddin, who hit a deer on the highway but is accused of covering up a sexual encounter.

Maddin imagines the arena's salvation by the "Black Tuesdays", a fictional team of hockey heroes "in their 70s, 80s, 90s and beyond", then re-enacts a family scene where Mother is harassed to cook a meal.

Further Winnipeg landmarks, including the Golden Boy statue atop the provincial legislative building, the Paddle Wheel restaurant, the Hudson's Bay department store, and the Manitoba Sports Hall of Fame, make appearances in distorted versions of themselves, as does the Sherbrook Pool.

A limited theatrical release of My Winnipeg involved live narrators, including Maddin himself, Udo Kier and "scream queen" Barbara Steele.

[9] Maddin's book contains the film's narration as a main text surrounded by annotations, including outtakes, marginal notes and digressions, production stills, family photos, and miscellaneous material.

The book contains a "Winnipeg Map" by artist Marcel Dzama featuring such fictional attractions as "The Giant Squid of the Red [River]", various poster designs for the film, and short articles about working with Maddin by Andy Smetanka, Darcy Fehr, and Caelum Vatnsdal.

This book-length work, Guy Maddin's My Winnipeg (U of Toronto P, 2010), contextualizes the film in relation to avant-garde literature and art by drawing on media and cultural theory.

Through an exploration of the film's major thematic concerns – memory, the cultural archive, and how people and objects circulate through the space of the city – I contend that My Winnipeg is intriguing because it is psychologically and affectively true without being historically accurate.

Maddin has called My Winnipeg a "docu-fantasia" and Wershler similarly points out that the film's "truth" lies somewhere "in the irresolvable tension created by the gap between documentary and melodrama".