Rainy Day Women happens to deal with a minority of, you know, cripples and orientals and, uh, you know, and the world in which they live, you realize, you know, you understand, you know. It’s another sort of a North Mexican kind of a thing, uh, very protesty. Very, very protesty. And, uh, one of the protestiest of all things I ever protested against in my protest years. But, uh…
~Bob Dylan (to Klas Burling – April 1966)

The memorable joke in the chorus is about marijuana (although it could just as easily be about alcohol), but the song as a whole is about persecution, specifically criticism, and the message in the chorus is a straightforward one: it happens to everybody, so don’t feel bad (and, implicitly, don’t be such a victim about it).
The combination drunk party/revival meeting sound of the song is wonderful, a product of the unique musical chemistry Dylan and the Nashville studio musicians (under the leadership of Charlie McCoy and producer Bob Johnston, with help from Kooper and Robertson) achieved during these freewheeling ses- sions. This is not country music. This is not Dylan music as defined by any earlier Dylan album. It’s only rock and roll in the broadest, most all-encompassing sense..
-Paul Williams