Joyce Carol Oates dedicated this story to Bob Dylan, and she explained her reasoning in the May 19, 2015, edition of The Wall Street Journal:

The beauty of the song [“It’s All Over Now, Baby Blue”] is that you can never quite comprehend it. We know only that something is over: “The lover who just walked out your door / Has taken all his blankets from the floor / The carpet, too, is moving under you.” A powerful evocation of losing control, of losing everything.

Essentially, the song is about mortality. In my story, which was first published in 1966 and many times reprinted, the life that my teenage character knew is about to end.

Arnold Friend’s final spoken line is addressed to Connie, and he echoes the inspiration provided by Bob Dylan: “My sweet little blue-eyed girl.” This line is particularly insightful; Arnold Friend dismisses the fact that Connie’s eyes are actually brown, and this represents his determination to force Connie to conform to his will. While “It’s All Over Now, Baby Blue” helped to shape the character who would become Connie, a different context helped shape the character who would become Arnold Friend.

For that character development, Oates turned to a Life magazine article she read about a serial killer in Tucson, Arizona, named Charles Schmid. Schmid shared many of the same physical characteristics embodied in Arnold Friend. He was rather short, stuffed his boots to make himself taller (which would account for Friend’s wobbly steps), and wore makeup. Reportedly, Oates didn’t finish reading the Life article before trying to create her own story based on this new character who was already forming in her mind.

The numerical symbolism in the story is often widely interpreted, particularly this line:

“Now, these numbers are a secret code, honey,” Arnold Friend explained. He read off the numbers 33, 19, 17 and raised his eyebrows at her to see what she thought of that, but she didn't think much of it.

Starting at the end of the Old Testament and counting backward 33 books places one in the book of Judges. Chapter 19, verse 17, reads, “When he looked and saw the traveler in the city square, the old man asked, ‘Where are you going? Where did you come from?’” Oates had her eye on this verse, weaving a Biblical thread into her story of evil. Connie invokes the name of “Christ” numerous times in the story, but by the time she realizes her fate, her invocation is “forced.” Arnold Friend arrives in a gold car, the color symbolic of greed and vanity, which are sinful. Connie listens to popular music in a drive-in which she describes as “sacred.”

The story frames music as a medium of connection and joint appreciation between people. Arnold Friend takes advantage of this fact when he attempts to use music to appeal to Connie and put her at ease:

He lifted his friend's arm and showed her the little transistor radio the boy was holding, and now Connie began to hear the music. It was the same program that was playing inside the house. "Bobby King?" she said.
"I listen to him all the time. I think he's great."
"He's kind of great," Connie said reluctantly.
"Listen, that guy’s great. He knows where the action is."

Arnold Friend exploits Connie’s weakness for music as the energy of her life, and the fact that his comments make her blush reinforce his efforts. Connie’s music connects her to other teenagers, but her sense of self-worth is also grounded in these external connections. Instead of validating herself through more substantial means—such as the religious devotions she offhandedly invokes—Connie is left with a poor defense. As a result, she is predictable and exploitable.

The story seems to issue a warning for American culture, which in 1966 was undergoing a sexual revolution, the effects of which are still felt today. Unlike the generation before them, young people in this era were increasingly turning to the birth control pill and having sex outside of meaningful relationships, particularly on college campuses. Connie seems to embody this sense of sexual freedom. She prides herself on her beauty, enjoys the power she exerts over boys who aren’t up to her standards, and has encounters with various boys. Her blossoming sexuality elicits desire, but it also places her in great danger when Arnold Friend takes an interest in her.