The American film director and photographer Jerry Schatzberg shot the Blonde on Blonde album cover in 1966. The image shows Dylan outside the Meatpacking District of New York wearing a black-and-white checked scarf. This is just one of many photographs of Dylan posing in a variety of shots by Schatzberg, who was good friends with him between 1965 and 1967. The pictures will be exhibited at Proud Central in London.

"Two of my friends, including Nico of the Velvet Underground, had told me about Dylan, and I started listening to his music. I was a little intimidated when I first met him at his recording studio in New York, even though I had been told I could photograph him freely. I think he'd just finished recording 'Desolation Row' and he played it to us. Then he went back to work."

The photographs of Dylan sitting with a straight back at his piano and standing beside long microphones were taken of him at work in the recording studio – but Schatzberg was desperate to get him back to his own New York studio. "I wanted to have more control over the photographic content, and we took some formal studio shots." There is Dylan holding a set of keys, looking cool in shades while holding a mouth organ, holding a book with Leonardo da Vinci on the cover. "They were all props that were lying around, and we picked them up to make pictures."

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Then Schatzberg was commissioned to shoot the Blonde on Blonde cover. "We started out in the studio taking the colour photos of him looking sombre and holding his shirt. I thought I'd like to go outside, so we went to the Meatpacking District in Chelsea, which wasn't a fashionable art centre then. The image used is slightly out of focus, and this was interpreted as a drug trip – but it wasn't. It was cold and I shook the camera. He chose this image himself for the album cover."

Schatzberg lost touch with Dylan after the motorcycle accident that left the star more reclusive for a time. "He was always very cautious – even with me at first. He didn't trust the press – but we got over that and he trusted me. You can tell from the photographs that I took that he would try anything."

Schatzberg photographed for magazines, including American Vogue, before turning his hand to directing films. "I remember taking some photographs of Bob for the Saturday Evening Post. In those days, you didn't think twice about sending them off without keeping copies. I don't know where those pictures are now. They may be sitting in some drawer in an office."

Having made his debut as a film director in 1970 with Puzzle of a Downfall Child, followed by The Panic in Needle Park and Scarecrow, which won the shared Palme d'Or at the Cannes Film Festival in 1973, Schatzberg bumped into Dylan again. "I last met him at a wedding of a mutual friend in the early 1970s. Since we had last hung out as friends, I'd made three movies. He wanted to know how I'd gone about it as he wanted to make films, too. I said I'd made a few commercials, but really I'd just had a good story to tell. He said, 'Should I make commercials, will this help?', and I said, 'No, Bob, you don't need to make commercials'."

Thin Wild Mercury: Photographs of Bob Dylan by Jerry Schatzberg, produced in association with Raj Prem Fine Art Photography, is at Proud Central, London WC2 (020-7839 4942; www. proud.co.uk), from 21 November to 25 January 2009