After the success of Cloud Nine , Lynne and Harrison formed the Travelling Wilburys with Tom Petty , Bob Dylan and Roy Orbison . Jeff Lynne 's association with Harrison led to the 1988 formation of the Traveling Wilburys , a studio `` supergroup '' that included George Harrison , Tom Petty , Bob Dylan and Roy Orbison ( as well as Lynne himself ) , and resulted in two albums ( Vol .