Lyrics:

Blue, blue caravan, winding down to the valley of lights
My true love is a man who would hold me for ten thousand nights
In the wild, wild wailing of wind, he's a house 'neath a soft yellow moon
So blue, blue caravan, won't you carry me down to him soon?

Blue, blue caravan, won't you drive away all of these tears?
For my true love is a man that I haven't seen in years
He said, "Go where you have to, for I belong to you until my dying day"
So like a fool, blue caravan, I believed him and I walked away

Oh, my blue, blue caravan, oh the highway is my great wall
For my true love is a man who never existed at all
Oh, he was a beautiful fiction I invented to keep out the cold
But now, my blue, blue caravan, I can feel my heart growing old
Oh, my blue, blue caravan, I can feel my heart growing old