The song have been covered by Howard Fishman on his album Performs Bob Dylan & The Band 's The Basement Tapes Live at Joe 's Pub . Fishman played more than sixty songs from Dylan and the Band 's Basement Tape sessions over three nights , of which selected tracks was included on the CD and an accompanying DVD . " Santa @-@ Fe " have also been covered by Steve Gibbons . On November 7 , 2007 at the Beacon Theatre in New York City , J Mascis and the Million Dollar Bashers performed the song at a special concert featuring numerous music artists celebrating the release of Todd Haynes 's film I 'm Not There . Thomas Ward note that Dylan himself have never played the song live .