"Who's that knocking at my door" is an excellent first film by Martin Scorsese, with a first half of great level and a second half with some irregularities and that for that reason does not have the same high level of the first.
The influences of the French "nouvelle vague" are more than evident in this first work of Scorsese, more concretely the first films of Jean-Luc Godard, of the first half of the decade of 60, notably the nonlinear narrative, the style of the dialogues, the scenes "non-sense", the multiple cinematic "honors" (references to films "the searchers", "the man who shot liberty valance", "rio bravo"), artistic (references to actors John Wayne and Lee Marvin) and even musicals (references to Percy Sledge and others).
Even considering these (good) influences, Scorsese's style and themes are well-grounded in his first film: psychological analysis of a man disintegrated from society, the marginality of the streets, a fatal woman, the religion, and so on. The choice of songs is also remarkable, which has become a "mark" in Scorsese's films.
Harvey Keitel has his debut as an actor here and is excellent, he would collaborate with Scorsese in more films.
The filmmaker's second film, "Boxcar Bertha", also notable, would emerge five years after this, in 1972, he also with notable influences of "nouvelle vague", but with a more regular and consistent narrative, although the theme of this "who's that knocking at my door" seems to me perhaps more powerful than that of "boxcar bertha".