"I think it was an American film, and I remember it being very surreal, and revolving around a little girl, and a group of friends she collected in a fantastic world. It wasn't Wizard of Oz, though it may have been some bizarre retelling of it. I remember one of the "friends" she ended up with being something like an American Civil War soldier or cowboy - something of that era. I also remember a grim reaper or something similar."
It was not the recent TV retelling of Oz, but earlier, from the 90's.