Monica Cyrino showed the narrative similarities quite convincingly in an article in Classical and Modern Literature28 (2009). I come from that article still feeling that we're looking at archetypal similarities in the film, like Luhrmann would have shown his hand somewhere. The hellish nature of Luhrmann's Moulin Rouge notwithstanding and in spite of Cyrino's skillful explication of the moment of Christian's orphic retrospection, I still harbored doubts that the director was purposefully dealing with the myth of Orpheus per se. I didn't see smoking-gun proof that Luhrmann knew he was doing the Orpheus/Eurydice narrative. And the characters felt like an "Orpheus figure" and a "Eurydice figure" and so forth.
An article called "The First Tango in Paris", however, changed my mind. The piece included an interview with the director/creator and included a fair disclosure that Luhrmann knowingly worked with the Orpheus myth in the film:
Upon completion of a major project, Baz Luhrmann goes on a backpacking trip around the world to recharge his creative batteries. After Romeo + Juliet, he trekked to Marrakech, Cairo, Alexandria, and Paris, and came back with the inspiration for Moulin Rouge: the myth of Orpheus, the Greek lyre player who went into the underworld to save his lady love but failed. ''The myth is about the moment you realize there are things you cannot control,'' Luhrmann says later in his cramped office on the Twentieth Century Fox lot.
Monica Cyrino, "To Love and Toulouse: The Orpheus and Eurydice Theme in Marcel Camus' Orfeu Negro (1959) and Baz Luhrmann's Moulin Rouge! (2001)," Classical and Modern Literature 28 (2009)
Jeff Jensen, "The First Tango in Paris," EW.com 25 May 2001 [click here].
For other starting bibliography, see my slide OGCMA0796NOTOrpheusEurydice_Luhrmann