Although ostensibly a documentary, ''My Winnipeg'' contains a series of fictional episodes and an overall story trajectory concerning the author-narrator-character "Guy Maddin" and his desire to produce the film as a way to finally leave/escape the city of Winnipeg. "Guy Maddin" is played by Darcy Fehr but voiced by Maddin himself (in narration): Fehr appears groggily trying to rouse himself from sleep aboard a jostling train as Maddin wonders aloud "What if?" What if he were able to actually rouse from the sleepy life he lives in Winnipeg and escape? Maddin decides that the only possible escape would be to "film my way out", thus motivating the creation of the "docu-fantasia" already underway.