Legend-Specific Curves 

In[1]:=

X d1 = Table[PDF[NormalDistribution[0, 1], x], {x, -3, 3, 0.1}]; d2 = Table[PDF[NormalDistribution[0, 0.5], x], {x, -3, 3, 0.1}]; dm = Mean /@ Transpose[{d1, d2}]; styles = Sequence @@ {PlotStyle -> {Directive[AbsoluteThickness[5], Opacity[0.5], ColorData[45][1]], Directive[AbsoluteThickness[7], ColorData[45][4]], Directive[AbsoluteThickness[5], Opacity[0.5], ColorData[45][10]]}, ImageSize -> 400, PlotRange -> All, AxesStyle -> Gray, Ticks -> None};

Plot two datasets and their mean, with a legend identifying the mean curve.

In[2]:=

X ListLinePlot[{d1, Legended[dm, "mean"], d2}, DataRange -> {-3, 3}, Evaluate@styles, Filling -> {1 -> {3}}, FillingStyle -> Opacity[0.1], PlotLegends -> LineLegend[None, LegendMarkerSize -> {40, 10}, LabelStyle -> {20, Bold, GrayLevel[0.3]}]]

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