Two or three years ago, I found an image online called “The Saddest Band in Texas.” It was a photograph in browns and golds, a stage with a half-circle of musicians: guitar, mandolin, trumpet, Hammond organ, drums. A bearded man at the microphone whose mouth was caught in a sorrowful O.

The man was Will Sheff and the band was Okkervil River—named for a river outside St. Petersburg, for a short story about heartache and gramophone records. Since moving from New Hampshire to Austin, Sheff and a shifting cast of friends have recorded four albums and four EPs of fierce, heartbreaking song—indie rock traced with Appalachian filigree, folk-rock that lurches from melancholy to violence. The recently reissued Black Sheep Boy and Black Sheep Boy Appendix mix raging choruses with thorny scraps of fairy tale. Sheff’s lyrics are careful and incisive, stories of longing and self-destruction. Much of Black Sheep Boy takes its inspiration from the life and music of Tim Hardin, a blues-folk musician who overdosed in 1980.

Okkervil River came to Glasgow in May 2006, and I went to their show with orange-chocolate Jaffa Cakes under my arm. In our interview afterward, Sheff was clear-eyed, confident, and quick to laugh, but onstage he and his band were mostly as they had been in that photograph years before: a gathering of players, Sheff’s lips like an O. The saddest band in Scotland.

—Sean Michaels

I. THE KNIFE FIGHT

THE BELIEVER: So the first thing I wanted to ask you was if you’ve ever been in a fight.

WILL SHEFF: Oh. I was in a knife fight just a couple months ago, believe it or not. I was at a party—kind of a hipster party in Austin. It was New Year’s Eve. And there were lots and lots of people there. I dropped Scott [Brackett, Okkervil’s trumpet and keyboard player] off and I drove back to the party for no good reason. I was really drunk, walking around, and I turned a corner and saw two gentlemen having a fight. One of them pulled a hunting knife out of his jacket. It was like a ten-inch-long hunting knife, and he swung it at the other guy’s throat! And the other guy turned his head at the last minute and he got cut on the back of his neck. But if he hadn’t turned his head he would have gotten his throat cut.

The guy who got the back of his neck cut shouts, “He’s got a knife! He’s got a knife!” So I see this guy swinging this hunting knife around and in a blind, drunken impulse I grab the...