Chinese director Jia Zhangke has earned a reputation for making films about potentially controversial issues with a strong point of view. Giving voice to those who might not otherwise be heard “is more important than to remain in silence,” he says.

The 40-year-old director describes himself as “like an orphan anxious to learn the truth about where he comes from.” His latest film, “I Wish I Knew,” looks at Shanghai’s sometimes turbulent history from the 1930s to the present. Blending documentary and fictional narrative, 18 people from different walks of society describe their lives during China’s civil war, the Cultural Revolution and other historical events.

Mr. Jia, who studied at the Beijing Film Academy, is a prominent figure among China’s “sixth-generation” movie directors—independent filmmakers exploring realistic themes. His films focus on the immense changes taking place in Chinese society and their effect on ordinary citizens. “Platform” (2000) delved into China’s modernization; “Still Life” (2006) looked at the social impact of the Three Gorges Dam; and “24 City” (2008) examined urban development.

Mr. Jia, whose films were once banned in China, says that the country’s censorship board approved this one without any requests to alter the content. “I Wish I Knew,” which had its premiere at Cannes earlier this year and was screened at the just-ended Shanghai Expo, opens in Hong Kong on Nov. 18.

You have said that China’s censors have never required you to make changes in your films since you began submitting them for review in 2004 with “The World.” Why not?
I wouldn’t consider it as encouragement. I am a person who cannot be changed. I think everyone from the censorship board knows that I am a person who cannot be changed. So they have one decision to make: Approve it or not.

Have you benefited from changes in China?
Of course. First of all, I got an education for filmmaking. That was hard to imagine for a child from a family like mine. And most of the money we use for filmmaking comes from mainland China — without the development of the private sector, I could not find the funds.

What’s your next film?
It’s a martial-arts film that takes place around the turn of 20th century. It’s certainly different from what I’ve done before, but the theme of the movie is the same — it’s about the beginning of change in China.

After the martial-arts movie, I will do a movie about Hong Kong in 1949. It’s a spy film. I think it would be really cool for a director from Shanxi to do a local Hong Kong movie.

What’s your impression of Hong Kong?
I love it more than Hong Kong people do. Hong Kong has a lot of Chinese media, and they have freedom of the press.