If you feel that there are multiple, possibly conflicting interpretations, there's a good reason for that. Terry Jones, who is credited with writing the screenplay, has spoken several times in interviews about the rather disjointed creative process for the movie: it was originally conceived by Jim Henson with creative input by Brian Froud, and resulted in a 90-page novella of the basic idea. This was reworked by Jones, then bounced back and forth between the two, leaving an end result that Jones said he was generally pleased with, but didn't feel very close to:
I didn’t feel that it was very much mine. I always felt it fell between the two stories. Jim wanted it to be about one thing, and I wanted it to be about something else.
from Life Before and After Monty Python - – The Solo Flights of the Flying Circus
As to what those "one thing" and "something else" were, we can find bits in another interview, where Jones mentions specifically the themes he and Henson worked into the script:
Jim wanted it to be about a young girl coming to adolescence and putting her childhood behind her and growing to face the world. That wasn't a story that meant a lot to me. In the story I wrote the Labyrinth got wilder and wilder. It never obeyed any rules. It kept on cheating. Eventually the girl learnt there was no answer, no solution. The only thing you could do was to go with it and enjoy it. When she did that she got to the centre of the Labyrinth.
Published in Starburst magazine.
Most interviews with Henson I could find dealt either with the history of the screenplay or the technical aspects of the film, rather than analyses of the themes he was aiming for, but it seems we can take Jones' interpretations as the general feel he was going for.