As the 96th annual Academy Award nominations were revealed on Tuesday morning, Martin Scorsese was in New York, the city that shaped his gutsy and gritty style of filmmaking. His latest epic, “Killers of the Flower Moon,” picked up 10 Oscar nominations, although lead actor Leonardo DiCaprio was snubbed. With his director nod, Scorsese has been recognized 10 times in the category, making him the most nominated living filmmaker, edging out Steven Spielberg. But as he achieved that feat, his thoughts returned to old friends from “the neighborhood,” those rough-and-tumble streets of Little Italy where he came of age.

“The ones I knew are mostly gone, along with the neighborhood itself,” Scorsese says. “But they’re always with me, wherever I go. Maybe they’re joking around with me and giving me a hard time, but they’re proud.”

At the same time, the film’s star, Lily Gladstone, was braving a frost in Pawhuska,...