The Green Knight opens up with a shot with a building burning in the background. It is not referenced anywhere in the film. What is the significance of this?

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As explained by The Green Knight director David Lowery and cinematographer Andrew Droz Palermo, it is part of the dream sequence that starts the movie:

Palermo describes that opening sequence as “a rather simple shot, just a simple push in,” but the image is a haunting, startling one: Would-be knight Gawain (Dev Patel) sitting grimly on a throne in King Arthur’s Great Hall, with a crown slowly descending onto his head from above. When he’s crowned, his head bursts into flames, but he continues to stare at the audience, unblinking.

The article goes deeper into the scene further on:

For more traditional Easter eggs, Palermo points to that first scene after the hallucinatory opening of Gawain on the throne. In that sequence, the camera pulls back from a burning village, past a woman mounting a horse and a man drawing a sword, and fixes on Gawain, asleep in the brothel.

(I'm skipping the part of the article where they discuss who is playing one of the characters, since it isn't relevant.)

That dream sequence is yet another example of how Lowery and his crew mixed planning with improvisation on The Green Knight — not just because of the last-minute cast replacement, but in what happened to the scene afterward. [...] audiences have particularly wondered about the identities and meaning behind the man and woman in the burning village, who don’t appear in the rest of the movie. As the credits show, they’re Helen of Troy and her kidnapper Paris, from Greek myth, and the sequence is a dream of catastrophe Gawain is having, before his lover Essel wakes him up by dumping water on his head.

The scene was originally placed elsewhere in the movie, in a different context which explains the meaning of the scene:

Palermo says that before Lowery devised that opening shot with Gawain’s crown and his burning head, Paris and Helen’s sequence was the first shot of the movie “for so very long,” after being moved from other places in the story.

“We could never find a home for this dream sequence,” he says. “Originally it was in the middle of the movie. Morgan le Fay is touching Gawain’s head, and you understand that she’s implanted this vision in his mind, so he would be fearful of what would come if he didn’t succeed on his quest. But then David had the idea to utilize that sequence in the beginning. A friend of his gave him a note that he needed more of a setting of the stage. So David put it there instead. And it does really set you off in a scary, intense way.”

Also pay attention to the colors:

“With Jade [Healy], the production designer, I was looking for a way to have the presence of green moss be more and more apparent as the film goes on. The first shot after the introduction is largely the gray interior of a brothel, and that courtyard out back, where the building’s on fire. As the camera tracks back, you’ll see the very tiniest bit of moss growing in. That was me thinking, ‘This is where we’re headed. This is the first aspect of where we’re going to go eventually, into this very lush, verdant world.’”

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