*Spoilers* He never went into the show/(character's name) doesn't exist
*Spoilers*
I might have been reading into the film too closely but - the scene at the end between Maguire and his mother gave me the interpretation the film is really about him dealing with his parent's divorce and his increasing isolation. His entrance into 'Pleasantville' is a way of escaping reality. His sister doesn't really exist. She represents a version of himself he thinks he should be. His attachment to the fictional show stems from him feeling out of place with today's society, so he longs for the life of his favourite tv show. Much like we grow attached to our favourite tv shows. They have an element of aspiration. It's setting representing a time when things were simpler. There's less pressure on sex, more on academia. Which is attractive to him. The colour bleeding into 'Pleasantville' represents reality encroaching on Maguire. Each character acknowledges the inevitable, that they must accept change.
Joan Allen represents his real mother. Both were in a dull, lifeless marriage and escaped by hooking up with a younger man in an attempt to recapture their youth. Jeff Daniel's job is one typically in film and tv that's reserved for a younger and hopeless character. At the end of the film Maguire's mother says she made a mistake running of with her new boyfriend; he was too young for her and instead of making her feel younger, it made her feel older. Maguire's character imparts some new found wisdom and she recognises he has matured. His growth came from having accepted change. He realised the ideals he was holding onto aren't really attainable. With this realisation he no longer needed Jennifer, his crutch. Notice his mother doesn't asks where she is.
TL;DR - It's Fight Club with a different setting.
"I saw the best minds of my generation destroyed by madness"