The film follows five Roma  bands on their cross-country tour of America, sharing their vibrant music, energy, and joy with audiences nationwide. The journey takes us to the musicians' homelands—India, Romaa, North Macedonia, and Spain—offering a captivating look into Roma culture. We meet various members of the Roma community, many of whom face ostracism and persecution for being Roma.

The film begins in State of Rajasthan, northwest India, in a village where it’s believed Roma originated from. This village is home to the group Maharaja, one of the fifth bands starred in the movie, known for Indian folk fusion. In Spain, The El Pipas family, seasoned Andalucian musicians, features Antonio’s Flamenco dancing and Aunt Juana’s powerful singing. Esma Redzepova from North Macedonia, known as the "Queen of the Gypsies," is a seasoned performer with an extraordinary voice. Esma has been nominated for a Nobel Peace Prize for her humanitarian work, including supporting dozens of orphans. The groups from Romaa, Taraf de Haïdouks and Fanfare Ciocarlia, support entire villages with their music. Taraf de Haïdouks, led by fiddler Nicolae Neacsu, was also featured in the 1993 documentary Latcho Drom. Fanfare Ciocarlia, a brass fusion band, have used their touring and CD sales to build infrastructure like roads, a church, and to bring electricity to their village. These musicians, despite their different backgrounds and styles, share a common thread of resilience and pride in their Roma heritage.

Johnny Depp's involvement in the movie adds a layer of celebrity power and genuine admiration. Depp met some of these musicians during the filming of The Man Who Cried, where he shared a trailer with them. His testimonials in the documentary highlight common misconceptions about Roma people. He uses different public appearances such as this to try to fight the ignorance of the myth of the Roma: “The Nazis perpetrated a genocide on the Romani (Editor’s note: Roma) people. The murder of thousands of women and children. A weight these people, these beautiful people – carry with them everyday…”

Dellal captures the essence of Roma society through a mix of formal ceremonies, such as weddings and funerals, and everyday moments. While the music initially draws using, “When the Road Bends: Tales of a Gypsy Caravan” ultimately reveals that the true story lies with the people behind the music. The film’s dedication to the Decade of Roma Inclusion (2005-2015) underscores its commitment to raising awareness about the challenges and prejudices faced by Roma. 

The film’s title, taken from a Roma proverb, “you can’t go straight when the road bends”, shows essence of the Roma journey – one filled with twists and turns and unexpected injustices, yet marked by an ability to adapt and a steadfast spirit with an undying love for music, which supports Roma and helps to express the grievances, sometimes being the only allowed instrument to make changes in life. The film shares the universal pains of marginalized peoples, yet their art, which gives voice to their resilience, stands out. Juana Di Pipa, one of the artists in the movie, expresses her personal anguish through powerful laments:

I can’t take it anymore

Every sighing brings no relief

This is my last breath

O Lord sing life into my heart

So that I May Praise You.

Despite centuries of marginalization, Roma music remains a powerful expression of their identity and resilience: “music contains all of life” as one of the artists of Maharaja band says in the movie.