Their cover will feature on the soundtrack of the upcoming movie adaptation of The Watchmen graphic novel.
Lead singer Gerard Way told the BBC that he wanted the band's take on the song to be of its time.
"The movie The Watchmen and the comic are set in this alternate version of the early '80s - I wanted the youth culture to listen to from that universe," he said.
"I think that's what Bob Dylan would want for the song."
Way added that it was not easy being a fan of Dylan and completely altering the way one of his songs was played.
Director Zack Snyder revealed last year that Way had approached him to appear on the soundtrack because he is a "huge fan" of the graphic novel.