My own interpretation of the film is that all the events following the incident at the train station with his parents separating are all hypothetical timelines that are diverging in his mind. When at the table with the cakes he says 'if you dont choose then anything is possible' and up to that point he seems obsessed with choices and their outcomes. Before the separation with his parents one assumes that he has been able to sidestep major life choices for this exact reason. However, when faced with a scenario such as the one he finds himself in at the train station, there is no possibility of making no choice (unless, like at the end, he just runs away) so his young mind plays out all of these different scenarios. I feel the quote at the end drives this home when nemo says something like 'he wasnt able to choose as he didnt know the outcome, but when he knew the outcome he wasnt able to choose'. This indecision and realisation of the futility in life choices is what causes such a rift in the childs mind and causes all the scenarios to play out. The films major thought point is the butterfly effect and how minor choices can play out in drastically differing ways in the long run.
I think that everything is in the child nemos mind instead of the anicent nemos mind for a few reasons. Firstly I feel that the distant future world is a bleak but almost childish imaginary construct with its cartoonish television personalities and civilians who all have matching pigs. It has groundings in our current (or nemos current) reality but is then blown into a childish scifi. I feel that the fact nemo is being recorded on an old school tape player also highlights this fact as perhaps nemos child mind could not think of a suitable replacement.
Another reason I believe that it is in the childs mind is that the three different women that he eventually ends up with are the three girls that he sees on the bench when he is young. Again, his childs mind quickly picks up on them as he is thinking of possible outcomes and runs with it. It seems odd that he would not meet any one else. He already has some sort of attachment to Anna, that is why in her timeline he loves her the strongest. He is the unrequited lover in Elises timline while June is the unrequited lover in her timeline. Love is the focus of the Anna story, Family is the focus of the Elise story and Wealth is the focus of the June story. This is his mind deciding which he wants most.
I think that the odd world nemo sometimes finds himself in with the fake walls with helicopters carrying water and such, is a construct that stems from nemos toys as a child. Similarly, the Mars future comes from his interest in space and science (which is evident when you look at his bedroom walls).
These aspects of the film suggest to me that it is all in fact in the childs mind. There are however a number of other facets to this film that I have yet to put my finger on such at the timeline with him in a coma, the business at the start with the angels, and his ability to predict his dads car rolling away.
This is a very deep film with a lot to say. I do think that its main message is that all our choices are futile to an extent, however while life is merely a collective of random events, decisions and chance, perhaps love might be the most worthwhile thing to try and pursue in all of the chaos. At the end of the film it goes back to him just as baffled at the start, but it then concludes with him and Anna together, maybe suggesting that that is what is worth jumping on the train for, despite all the heartache he must go through to get there.