If you were attending press formalities for The Wizard of Oz then the best route would be via some portion of the fabled Yellow Brick Road. That's never likely to happen, but this will do well enough. Long Island is to my back and Manhattan to my nose as the taxi clatters onto the giant Meccano structure that is the Queensboro Bridge. Didn't F Scott Fitzgerald write something about this in The Great Gatsby ?

“The city seen from the Queensboro Bridge is always the city seen for the first time, in its first wild promise of all the mystery and beauty in the world,” he buzzed.

Well, quite. There’s more. Our eventual destination is the Plaza Hotel on Fifth Avenue. As you should be aware, the hotel features in a crucial sequence towards the close of Fitzgerald’s book. Even before Baz Luhrmann and his fellow conspirators in the much-ballyhooed new adaptation make their way before us, we feel entirely immersed in GatsbyWorld. Catherine Martin, Baz’s wife and the film’s production designer, has remodelled a cluster of rooms as “The Fitzgerald Suite”. There are Gatsby dishes on the dinner menu and Gatsby cocktails available at the Champagne Bar.

It seems rum of Leonardo DiCaprio not to come in costume. Yet here he is in a checked shirt, puffing on one of those electronic cigarettes that emits actual wisps of virtual smoke. When it was announced that Luhrmann, creator of the deafening Moulin Rouge! and the dazzling Romeo + Juliet , was to direct a version of Fitzgerald's perfectly balanced, delicately poetic novel, more than a few eyebrows were raised.

But DiCaprio always sounded like the right man for the lead. A charismatic ordinary Joe who, during the busy 1920s, reinvents himself as an American aristocrat, Gatsby was essentially living another version of the Hollywood dream. The super-host has a thousand acquaintances, but when he encounters significant failure, he discovers that he has only one friend: the book’s narrator, Nick Carraway. It sounds like life in Hollywood when you’re latest movie has just bombed.

“The truth is my life is much different from Gatsby’s,” DiCaprio says in his cautious way. “Nick is his only friend; he is the only one grounded in reality. Gatsby is disconnected from what’s going around him. And the great tragedy is that he throws these parties where everybody wants to connect with him. But once he becomes tabloid fodder and they investigate his past . . .”.

The comparison is a tricky one. Jay Gatsby is seen to embody all that is exciting and much that is dangerous about American notions of transformation. Young men from relatively ordinary backgrounds such as DiCaprio’s – he was largely raised by a single mum in LA – do occasionally achieve eye-watering degrees of renown. The book seeks to remind us, however, that you can never fully escape your roots.

“For me in my life, I grew up with great family and friends surrounding me,” he says. “But Gatsby is somebody who erased all his past and breaks all his connections to his humble beginnings, so that he can reinvent himself as this great oligarch. He doesn’t want to connect with anything from his past.”

By all accounts, DiCaprio remains a fairly unaffected sort of fellow. Born in 1974, he was making television commercials by the time he was 14. Stunning juvenile performances in What's Eating Gilbert Grape (showing up Johnny Depp, no less) and This Boy's Life (showing up Robert De Niro, no less) propelled him towards Gatsby levels of celebrity at an age when most kids were trying to secure their first fake ID. We're still waiting for the crash. He did not, perhaps, become quite the thespian genius that his stunning early performances promised, but DiCaprio remains one of the era's few proper movie stars. (As if to prove the point, earlier this week, defying iffy reviews, Gatsby stormed the US box office.)

So, one can understand why Leo sounds cautious when pondering comparisons between himself and the hero of Fitzgerald’s novel. Nobody wants to be depicted as a great faker.

“I do identify with the ambition,” he says. “I think everyone does. He is manifested in this image of what he wanted to be as an adult. He works tirelessly. He has such great ambition to become that. He is the manifestation of his own dreams.”

DiCaprio is somewhat buttoned-up and cautious in his interactions with the press. That, one imagines, is a natural consequence of being a permanent topic of conversation in the supermarket tabloids. By way of contrast, Baz Luhrmann, great showman of the Antipodes, is as loud, human and effusive as his films.

It’s an interesting project for an Australian. The novel is, to some extent, about the myths of reinvention that thrive in an immigrant nation. One wonders if those legends also characterise Australian discourse.

"I think what you are saying is true, but the novel both celebrates and is an indictment of the American dream," he says. "As regards Australia. Some of what you say is true. But we are not very good philosophically with the idea of 'the idea'. When somebody says 'let's do this', we tend to say 'Oh I don't know. You sure?' That's a bugbear of mine."

Picking up some momentum, he goes on to discuss the way the film pits the mid-western attitudes of Nick Carraway against the patrician Eastern outlook of the Long Island smart set.

"You can't get much further west than Sydney, Australia," Luhrmann says. "So, I feel a little like Nick Carraway myself. I am from a small country town. It's required reading in Australia. We have a curious relationship to English and American culture. I can make a joke with an American about Maxwell Smart, but I can't make one about It Ain't Half Hot Mum . But I can with you. That's partly why Australian actors are very comfortable in American films."

Fair enough. The film teams with Aussies. Isla Fisher and Jason Clarke play the forlorn Myrtle and George Wilson. Joel Edgerton turns up as the wealthy Tom Buchanan. Fox's Sydney Studios stand in for various bits of New York City and Long Island. But the title role had to go to an American. Having worked with Lurhmann on Romeo + Juliet , DiCaprio always sounded like favourite for the role.

“I didn’t have to ‘find’ Leonardo,” he says. “That role is, to me, the American Hamlet. You have to have someone who has that charisma, but can also deal with the complexity of the character and the darkness of the character.”

What if Leo had said no? Would the project have then wilted away?

“That’s a really good question,” he laughs. “You know, I didn’t allow that thought to come into my head: ‘if he doesn’t do it, will I not proceed?’ I wasn’t sure he would do it. But I didn’t allow that thought to enter my head.”

There were a host of reasons for DiCaprio to pass on the project. Like Huckleberry Finn or Captain Ahab, Gatsby has become an irresistible American archetype. Robert Redford – then at the height of his fame – failed to overpower that mythology in the underpowered 1974 adaption of Fitzgerald's book. It is not a role to approach casually.

"Oh, yeah, sure," DiCaprio says. "The truth is, it is a very tricky undertaking. Everyone has their own verdict on The Great Gatsby . I can't tell you how many people have told me it's their favourite book of all time. There's not many projects you're a part of where people have that expectation going into it. They are going to want to see an imagine dramatised that they already have in their heads."

What they will see is the universe as it looks to Baz Luhrmann. Contemporary music blares out as the camera swoops through fantastic digital landscapes. Can the film have been as exhausting to make as it is to watch?

“Baz is Gatsby himself,” DiCaprio says (contradicting the director’s notion that he is a version of Nick). “He is the manifestation of his own dreams. He is vigilant about being his own unique artist and creating a world that supports him. He is among the most infectious people I have ever met. You can’t get in a room with him and not be nostalgic for the world you are about to recreate.”

At any rate, the two men do seem to inspire something in each other. Despite being kicked suspiciously from an original release date in Oscar season to its current space in early summer (thus allowing a European premiere at Cannes on Wednesday) the film appears to have found a sizeable and appreciative audience. It’s official; as he approaches 40, DiCaprio remains a draw. No wonder he claims to be happier than ever.

“I suppose that is something that comes with age,” he says. “I grew up in this industry. I have been acting since I was 13 years old. In a lot of ways, I have grown up on screen and in the public eye. There comes a point when I do feel more comfortable than I did before. It’s been this grand journey to fulfil my childhood dreams.”

We’re back to Gatsby. The novel tells us to be careful what we wish for. Don’t forget where you came from.

“At first, I never felt I belonged,” he says. “Ever since I have felt that I’ve won the lottery.”

A very sensible attitude. Carry on, Leo.