An extremely cordial performance documentary, “Gypsy Caravan,” follows an assortment of musicians who represent different tangents of the Roma exodus: the wandering clans of gypsies who have scattered across Southern and Eastern Europe during the past millennium. Even as the culture’s keening, melancholy themes and ecstatic, tilting rhythms have been appropriated by Westerners as nearby as Williamsburg — see such popular New York bands as Gogol Bordello and Beirut — the players themselves have not been seen much in America.

So, in 2001, the World Music Institute assembled a six-week package tour featuring five acts from such gypsy fever beds as Romania, Macedonia, Rajastan, India, and Spain, throwing together a profusion of tongues and creative approaches meant to reflect the vigorous diversity of the gypsy experience. Producer and director Jasmine Dellal was savvy enough to hire the legendary documentarian Albert Maysles, who practically invented the concert film with “Gimme Shelter,” to run camera as the performers moved between colorful appearances onstage and nonstop chatter in the confines of the tour bus.

The simplicity ensures an accessible saturation in the often intense and intoxicating sounds made by musicians who are, by turns, humble and histrionic. As they tell their stories, fidget over elaborate costumes, mug shamelessly, or grumble over smoking regulations, a suitably patchwork history of gypsy music comes together. Two of the most affecting characters are the Macedonian diva Esma Redezepova, and Nicolae Neascu, the patriarchal leader of the Romanian band Taraf de Haïdouks.

Ms. Redezepova is a commanding presence whose ululating cries set the skin aprickle. In a hilarious episode any music journalist will appreciate, she rails in rapid-fire Macedonian during a tour bus telephone interview, insisting that she will never, ever assimilate — a statement that is dutifully translated, and hilariously toned-down, by a bandmate. Later, when the camera follows her back to her native village, she’s proud to talk about how she has popularized her culture, even marrying a man who was not Roma (a “gadjin”).

Ms. Redezepova may be the most widely heard gypsy singer alive. Sacha Baron Cohen used her song “Caje ÿ Sukarije ÿ ” prominently in “Borat,” which reportedly sparked threats of litigation from the feisty performer. Nothing much slows her down, it seems. There’s a wonderful TV clip of the singer in her youth, performing against a blank studio background with a handful of players that looks like something out of Enid Coleslaw’s video archive in “Ghost World.”

Mr. Neascu, whose violin cues the often frenetic pace of the string-driven Taraf de Haïdouks — whose hard-swinging pieces summon echoes of a more rustic Django Reinhardt and Stephane Grappelli — is the village gentleman who uses concert receipts to keep his neighbors in running water and educate their children. He is a poignant figure and the heart of Ms. Dellal’s film. She reels in Johnny Depp for a testimonial, and the actor reflects on the marathon jams he enjoyed while working on “The Man Who Cried,” in which the musicians performed. “I’m going to build a swimming pool like Johnny Depp,” the old violinist says jokingly, knowing how committed he is to his modest means.

In a heartbreaking segue, the film moves seamlessly from a shot of Mr. Neascu waving his bow above the audience in a benedictory gesture to a houseful of mourners gathered before his casket. Outside in the dark, one of the young musicians he trained plays the violin in tribute, his brow trembling in grief and determination. That feels like the essence of gypsy music right there. When the sun comes up and the wood fires have crumbled to ashes, he is still playing.