No doubt some really clued up expert on the Rolling Thunder Revue can pinpoint the actual evening that this clip comes from, but enough to say that it is footage captured whilst Joni Mitchell was on tour with Bob Dylan and assorted others including Byrd leader Roger McGuinn on a tour that everyone who failed to be able to go to it (not only the wrong continent, but I doubt I’d have been let off school) would cite as the one they wished they could have caught. Fortunately, there is footage, and this clip comes from Rolling Thunder Revue: A Bob Dylan Story by Martin Scorsese.
Coyote is a song that relates directly to Mitchell’s experiences on the tour, this version is somewhat different to the final studio version we all know from Hejira (or that other great live performance captured on film as part of The Last Waltz) but adds a few “very special” stars through having additional guitar support from McGuinn (very intense concentration) and Dylan (couldn’t be more casual).
I believe it was at Gordon Lightfoot’s house in Toronto. I could be wrong, of course!