It's confusing at first, because it mixes history and fantasy pretty freely, but that's kind of what it's all about - fiction and memory and how we construct the narratives of our lives. And it's got some wonderful symbolism, and the end pulls it all together. Moving and wonderful and strange.
It's the kind of film that made me wish I'd seen it for a class, so we could have a rousing discussion about the what it all means and then maybe get to read some essays about it. Yes, seriously.
(Oh, and it's also completely for grown-ups: it's a drama about film and romance! No giant robots, no tentacles, nothin'. Although I have to admit that Gozilla makes a cameo appearance.)
Here's a quote I really liked from a review I found online: "Tracing the point at which reality begins and fantasy ends is beside the point of Millennium Actress: contemplating the futility of trying to draw that line when it comes to the weight of memory on an individual's psychic and emotional development is closer to the core of Kon's concerns."