Steven Wilson's latest video for the song "Happy Returns" tells the fictional story of a woman who moves to a large city, only to gradually disappear -- and it comes from a deeply personal place.

Wilson, known for founding the popular progressive rock band Porcupine Tree, remembers how tough it was when at 21, he moved from a smaller town to London, where he had to compete with tens of thousands of other aspiring musicians for gigs and attention.

"If...