The claims come from many mutual friends of Sedgwick and Dylan. Dylan denied the romance in an interview for Spin Magazine in 1985:
Sedgwick earned the title of "Queen of the Underground" for her contributions to the New York art scene in 1965 through 1966. During this time she was the muse of Andy Warhol, who filmed her in his underground films, including "Poor Little Rich Girl," where Edie can be heard singing along to Joan Baez's rendition of "It Ain't Me Babe."
Her association with Warhol began to dwindle as it was rumored she began hanging out with Dylan's crowd, eventually leaving Warhol's Factory to pursue an acting career under the management of Dylan's own manager, Albert Grossman. During this time, Dylan secretly married his first wife, Sarah.
To add fuel to the myth, Dylan's road manager, Bobby Neuwirth had an on-and-off again relationship with Edie from 1966 to 1967 before she was commited to a psychriatric hospital, later moving back home in California, where she died in 1971, at the age of 28.
In the book, Who Is That Man?: In Search of the Real Bob Dylan, Danny Fields claims Sedgwick left the infamous pill-box hat in his apartment. Fields is the subject of the recent documentary Danny Says, which details his life as a fly on the wall of Rock & Roll.
According to a video presented on the website for the documentary, artist, Justin Vivian Bond says Fields gave Bond the hat. Stating Bond would take better care of the hat better than Fields. Could this artifact be the actual subject of Bob Dylan's "Leopard-Skin Pill-Box Hat?"
Just recently, collection of personal items of Bob Dylan recent sold for $15-$20 Million to various institutions in Oklahoma for academic purposes. Most of the collection will be held at the Gilcrease museum in Tulsa. Among the 6,000 piece collection are lyrics, journals, films in photographs. In 2014, his handwritten draft for "Like A Rolling Stone" sold for $2 Million.
SOURCE: DANNY SAYS FILM | SPIN MAGAZINE | WHO IS THAT MAN?... BOOK | NYTIMES