The Traveling Wilburys would have never referred to themselves as a supergroup. Though comprised of some of the biggest names in modern music, the band was much more nonchalant than that. Formed out of frien roll history.dship, spontaneity (and some would say pure kismet) the Traveling Wilburys were Bob Dylan, George Harrison, Tom Petty, Jeff Lynne and Roy Orbison. The Travelling Willburys Volume l, celebrates this blue moon moment in rock & roll history.