Ivy Allie’s review published on Letterboxd:
The most common approach to discussing Mulholland Drive is to compartmentalize the entire film and come up with a comprehensive explanation of how the events fit together, which parts are "real", and which parts are "dreams." In this review, I am going to argue that this is not a good mindset for a Lynch film, and is perhaps particularly misplaced in the case of this one.
Lynch films are not puzzles. They don't have a solution. Too often people approach this film as if there's a very direct, straightforward narrative that's been obfuscated in the telling of it, and that the reward is to describe that narrative as clearly as possible.
But while it's possible to string together specific narratives from the film's events, to declare a unilateral explanation of the story is to miss the point of the experience. Lynch never reveals what his own interpretation of the film is, because he wants viewers to draw their own conclusions. Lynch: "People shouldn't be told too much, because 'knowing' putrefies that experience." When someone declares the film "solved," they have essentially stopped participating in the Mulholland Drive experience. The narrative ambiguity is the point. There is no definitive explanation: not Lynch's, not the one you came up with last time, and certainly not the one you saw on the internet somewhere. The beauty of this film is that it can be read differently with every viewing. Choosing an explanation defeats the purpose.
And Mulholland Drive, among all of Lynch's films, is possibly the most ironic choice to be treated this way, because the film is about identity, reality, and artifice. There are two main "realities" in the film, "Betty Universe" and "Diane Universe" we'll call them, and the question of which one is "real" and which one is the "dream" is the focus of a huge amount of internet speculation. But there are more, nested realities within those: there's the film Betty auditions for, the film Diane appears in, the detective story that Betty thinks she's participating in, the supernatural realm occupied by the scary diner man and the Cowboy. It is not a coincidence that this film is set in Los Angeles, the "city of dreams," a place whose livelihood is tied to the production of fictions. Within the film we see films being produced, and how artificial they are. "It'll be just like in the movies," Betty says. "Pretending to be somebody else." Does this not call attention to the fact that this movie is false as well? That Betty's audition is, in fact, Naomi Watts playing Betty playing someone else? Betty isn't real, but neither is Diane. No hay banda. There is no band. It's all a tape. It is an illusion.
So what I suggest is this: ignore the myriad explanations of the film that are kicking around the internet. Avoid even reading them, if possible, because many people's certainty is so absolute that your experience may be tainted. Watch the film with an open mind and see where it takes you. It probably won't be the same place every time.