Bob Dylan’s three-night residency at the Royal Albert Hall was his first visit to the venue since the 1966 tour when he was heckled for the heinous crime of playing an electric guitar. What fresh outrage would he concoct this time? Dylan goes ukulele? The great man turning to his band amid howls of indignation: “Strum it loud …”

The old tease kicked off Wednesday’s show with “Things Have Changed”. “Standing on the gallows with my head in the noose,” he rasped: “Any minute now I’m expecting all hell to break loose.” But unlike 1966, nothing had really changed. From his black frock coat and raffish two-tone shoes to the road-tested touring band, Dylan, 72, was in the role he has been playing since 1997’s Time out of Mind – that of the itinerant troubadour, the mythic American wanderer who, as he later sang, “ain’t seen my family in 20 years”.

He and his five-strong band were illuminated by muted sepia lighting on a darkened stage in the round. There were no spotlights to focus attention on individual players. They played as a unit, like an antique roadhouse band transported by some odd wormhole to the plush setting of the Royal Albert Hall.

Most of the set was drawn from Dylan’s post-1997 work, with his latest album Tempestpredominating. Charlie Sexton delivered deft but unshowy solos on guitar while steel guitarist Donnie Herron added a western twang. Drummer George Recile and bassist-bandleader Tony Garnier drove the tempo forward immaculately, from “Beyond Here Lies Nothin’s”’s Latin shuffle to the boom-chicka-boom railway beat of “Duquesne Whistle”.

Dylan alternated between a microphone stand in the centre and a grand piano at the side where he stood playing rudimentary chords, often one-handed. The rumoured arthritis appeared to be confirmed by the other hand dangling by his side; he seemed uncertain what to do with it, often propping it awkwardly against his hip. But his harmonica-playing was lusty – it replaced the accordion parts that Los Lobos’s David Hidalgo contributed to recent albums – while his ruined voice struck me as unusually vigorous.

Tempest’s “Pay in Blood” found him hissing the line “I pay in blood – but not my own” with B-movie relish. And “Forgetful Heart”, a rootsy ballad from 2009’s Together Through Life, was outstanding, Dylan contorting his groaning tones into genuine tenderness. With his frizzy grey hair in a quiff that had failed to defy the laws of gravity, he resembled a ghostly satire of a 1950s showman; the way he looked at the audience after kerplunking the piano keys – as if to say “Top that!” – was straight from the Jerry Lee Lewis school of stagecraft, with a hefty dose of irony.

He ended with two classics: “All Along the Watchtower” and a neatly countrified “Blowin’ in the Wind”, the latter punctuated by a swaggering harmonica solo. A young man pushed past me to throw something on stage, a “personal letter to Bob Dylan”. Dylan, standing taking his bow, did a cartoonish double take as the package skidded past his feet. It wasn’t addressed to “Judas”.

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