She is the star of her own photographs but claims they aren't autobiographical. Cindy Sherman talks to Simon Hattenstone about family, break-ups, $1m pictures… and why she can't keep herself out of her art

I give Cindy Sherman the once-over. Then the twice- and thrice-over. I know I'm staring more than is right but I can't help myself. I'm looking for clues. Sherman is one of the world's leading artists – for 30 years, she has starred in all her photographs – and yet the more we see of her, the less recognisable she is.

She's a Hitchcock heroine, a busty Monroe, an abuse victim, a terrified centrefold, a corpse, a Caravaggio, a Botticelli, a mutilated hermaphrodite sex doll, a man in a balaclava, a surgically-enhanced Hamptons type, a cowgirl, a desperate clown, and we've barely started.

In front of me is an elegant woman with long, blond hair and soft features. She's stylish – black jodhpurs, thick, white sweater, Chanel boots horizontally zipped at the top to make pockets, and a furry handbag that doubles as a great golden bear. She looks much kinder than in many of her photographs. She also looks petite – until you notice the big, strong arms: she used to box. She will be 57 next week.

Sherman emerged fully formed on the New York art scene in the early 1980s with a series of untitled film stills. It was a brilliantly novel concept – grainy shots of movies that never existed, created with such panache and knowing that you felt they must do. She was a dream for cultural studies professors the world over. Few artists embraced their contradictions so easily. She took photos of herself that were anything but self-portraits; photos that stuck two fingers at the then received wisdom that the camera never lies – her camera always lied. And, through her deceits, she looked for truths about identity, vulnerability and power. The feminists claimed her as theirs, as did the postmodernists, the post-structuralists, the post-everythings. But there was nothing clean or prescriptive about her art. Sherman's work has always been a vibrant mush of ideas.

We meet at Sprüth Magers, a tiny gallery in central London that is holding an exhibition of her new work. I first came across Sherman's photos 20 years ago at the Whitechapel Gallery. Back then, two things struck me about her – she was an astonishing image-creator (her stills were like complete movies, with their own narratives) and here was a girl who sure liked to dress up.

She smiles, and says it was always that way. As a little girl, she'd visit thrift shops with her mother for outfits and back at home she amassed a suitcase of prom dresses.

She grew up in Long Island, New York, the youngest by far of five children. The next youngest was nine years her senior, and Sherman felt she was on her own. Her mother taught children with learning difficulties to read, though strangely, Sherman says, she never encouraged her to read. As for her father, he had a hatful of issues. "My dad was such a bigot. He was a horrible, self-centred person. He was really racist and he'd talk about the Jews and blacks and Catholics even. I was raised Episcopalian. In the nursing home [towards the end of his life], he had one of these electronic carts to get around and he'd be honking the people in their walkers and with their canes hobbling – so he was prejudiced even against his fellow old people."

Nobody in the family thought her dressing up was strange. In fact, nobody commented on it. They were simply glad she had found something to occupy herself. Was dressing up a means of escape? "It was partly that, but, to be really psychological about it, it was also partly, 'If you don't like me this way, how about you like me this way?' " Her voice rises with mock joie de vivre. "Or maybe you like this version of me." She felt disliked? "It wasn't that they didn't like me, but I came along so late and they already had a family. Four kids and a family, and I was like this total latecomer."

Did she go round chippily telling her parents it wasn't her fault, and she didn't ask to be born? No, she says, anything but. She was always blessed, or cursed, with an eagerness to please. "I probably went around going, 'It's OK, I'll fix it. I'll be better.' "

Of course, there is more to her work than dressing up. While she resists dogmatic interpretation, she accepts that so much of it has been an examination of identity and gender. Again, she says, it's rooted in the confusions of her childhood, and the political evolution of the 1960s and 1970s. As a teenager, she was obsessed with appearance. She can't believe now that at 14 she was wearing girdles and projectile bras. "When I grew up, I was watching all these glamorous women with all their make-up and their pointy tits. I'd put on make-up every day of the year because I thought, 'Well, you never know who's going to knock on the door.' I ironed my hair even though my hair was pretty straight. And then I went through a period when I went to sleep with great big curlers. But you couldn't get rollers that were big enough, so we'd wash out orange juice cans and even those big tomato juice cans, and wrap our hair around that to make it sort of curly, and I remember trying to sleep with these horrible curlers in my hair."

But by the time she got to college, make-up was a no-no among self-respecting liberated women. "I was really ambivalent about it because I still liked it, but you did not wear make-up, you did not dye your hair, you didn't wear a bra – we were all natural. Don't shave or anything. In some of the really early work, you can see my hairy legs." So even though it's not autobiographical, the work is about her sense of self? "I suppose. It was just something I was working out without being overtly political about it."

She still has a complicated relationship with make-up. "I hardly wear it in the day now." Because she spends much of her professional life overly made up? "No, I just feel that wearing make-up in daylight makes me look older. But at night, when the lights are low, I feel I can get away with it."

At college she studied photography, and failed her first exam. She considered herself an artist whose medium was photography, but most people thought she was bonkers. The art world was not interested in photography, while her fellow photographers were not interested in art.

Sherman had started out painting, and is still a good copyist. In a way, she says, that is her skill as a photographer – the ability to recreate things she has seen. "I'm good at using my face as a canvas… I'll see a photograph of a character and try to copy them on to my face. I think I'm really observant, and thinking how a person is put together, seeing them on the street and noticing subtle things about them that make them who they are."

But painting at the time was a male preserve, she says. "There's a theory that there were so many women photographers at the time because we felt nobody else was doing it. We couldn't or didn't really want to go into the male-dominated painting world, so since there weren't any artists who were using photographs, we thought, 'Well, yeah, let's just play with that.' "

Untitled (2010) from Sherman’s latest work. After completing a ­series, Sherman says she often feels she never wants to take another photo. ‘I’m just like, forget it, I don’t want to put on any more make-up again, I’m so sick of those wigs, so sick of it all.’ Photograph: Courtesy Sprüth Magers Berlin London and Metro Pictures. © Cindy Sherman

From the off at college, Sherman became her own subject. Her collection of eccentric outfits was growing, she was still into dressing up, and sometimes she would go out socially "in character". "The boyfriend I had at the time had pointed out that you're always putting on make-up – I would just go in my bedroom when I was depressed and I'd turn into characters – and he said, 'You should be documenting this. It's really interesting what you're doing.' It hadn't occurred to me that I was doing anything unusual."

The men in her life hover in the background of her conversation like ghosts. At times, they seem to have been virtually collaborators; silent partners in the work. We are looking through the earliest photographs – her series of movie stills – and she explains exactly how they came about. "I took one roll of film and maybe six shots, because I didn't know they were going to continue, and they were all supposed to be the same actress but in different stages of her career, so in some of them I thought she's an older ingénue, but she's trying to be the ingénue again. Then I developed the film in chemicals that were too hot, which cracks the emulsion, so they are super grainy, because I wanted them to look like cheap prints, not art; something you could find in a thrift store for 50 cents." The movie stills grew from there. More wigs, more outfits, more locations. "I was always shooting where I lived, then I was visiting a friend at the beach, so I did some pictures there, then I'd rearrange my apartment to make the bedroom look like a hotel room, and then I wanted to do something outdoors, so with my boyfriend I took some clothes in the suitcase and we drove around the city in his van and I'd say, 'OK, stop over here – that looks like a good location', and I'd get into character and he would take the pictures, and I'd say, 'OK, do close up, or stand over there" Sometimes, she directs others to take photos of her, but by and large she takes them by herself with the help of mirrors. All the photos are untitled – another way of distancing herself from the images.

She turns to the picture of herself as Marilyn Monroe. It's a good likeness, I say. She laughs. "It's all make-up." Is the cleavage real? "No, that's make-up and maybe some socks I put in my bra. Women used to do that – tissues and socks!" Does she like way she looks in these pictures? "I was pretty distanced from it. I never thought of these characters as being flattering to me maybe because I just didn't think it was me."

Sherman talks about other men who have played a part in her life and work. The few people she used in her photos apart from herself include her former husband (video artist Michel Auder, who was addicted to drugs at the time) and his two daughters. They were together for 17 years, and she always believed she could help him kick his heroin habit with love – it didn't work out like that and they no longer speak, though she remains close to the girls. Then there was a disastrous relationship with aspiring film-maker Paul H-O, which culminated in a self-pitying documentary he made about being the unsuccessful half of the relationship. Why on earth did she go along with the film? She holds up her hands in surrender. "That was a real fucked-up relationship. I was only with that person for so long out of guilt, and he played up to it. Then, after we were together for a year or two and all these projects fell through and he was acting like I'm such a failure and I was trying to help him – I thought, if he just had some help, he'd blossom and be a nice, decent person. Hey!" she laughs. Some you win, some you lose.

Does she tend to document relationships in everyday life? No, she says, she's rubbish with her camera, always forgets to take it on holiday, and she segues into a story about another ex, who's never without his. Who's she talking about? David Byrne, she mumbles. I can't hide my surprise and disappointment – she had been going out with the musician for four years and they seemed such a perfect maverick mix.

"I thought he's your current boyfriend," I say.

"Well, not so much any more." Without warning, she bursts out crying, and says they separated only recently. "I'd rather not talk about this," she says through her tears. "And we might still get back together – I don't know. We're just taking a break."

She gathers herself, and decides she doesn't mind talking about him after all. "The one weird thing about being with David Byrne was I'd be like, 'God, David, don't you get sick of these people coming up you?' In the beginning, it was kind of exciting like, 'Wooh – he's my boyfriend!', but then I felt, boy, if it was me, I'd be so sick of it, and I actually realised he likes it. I don't think he'd ever admit it, but I think he does."

Who was the nicest man in her life? "Definitely, he is," she says without missing a beat. "He's a real sweetheart." Even nicer than Steve Martin, another ex? "Oh yeah. Yeah!"

It was in the early 1980s that she began to make a name for herself. Success was rapid and massive, especially after the shock value of her Centrefolds series, which the commissioning magazine refused to publish. The title led us to believe that the pictures would be titillating, possibly pornographic. Instead, she created a series of terrified, exposed and hunted women. This was when she found herself at odds with feminist critiques. "The pictures were meant to be disturbing. You weren't meant to think, 'Ah, OK, who's this cutie here?' and then you go, 'Oh! I'm sorry! But I didn't mean it as dogma', and some feminists said men could look at that and think it's a turn on, and she should have a label to explain each piece. But you can't control how people view your work. Once it's out there, it's out there."

The more controversy the work generated, the higher the price it fetched. Before long, photographs were selling at auction for $1m. By now, her mother had died, but her father enjoyed her success in typical fashion. "He saw it all as reflecting on him." She tells a story about when he was in his nursing home in Arizona and she was planning a visit. "My sister warned me that he had arranged for me to give a talk there about my work and he'd put up fliers saying, 'Charlie Sherman's daughter coming to talk.' When I heard that, I said, 'Dad, I'm sorry, I'm not going to do that. I'm not coming there for business, I'm coming there to see you.' He was so mad at me he didn't talk to me for, like, six months and he sent me a nasty letter saying, 'You will hurt your career – some of these people could have bought your book.' For him it was all about him getting attention; this is my daughter, I am the father."'

Did she think it crazy that a single photo could fetch $1m? I expect her to say yes, but she's not having any of it. "Not really, because other painters my age with the same kind of success were getting that." So she deserves this? "Totally. I totally deserve this, I thought. People think because it's photography it's not worth as much, and because it's a woman artist, you're still not getting as much – there's still definitely that happening. I'm still really competitive when it comes to, I guess, the male painters and male artists. I still think that's really unfair."

Did money make her feel different about herself? "No. My self-esteem still fluctuates." Anyway, she says, when she starts to congratulate herself, she only ends up feeling guilty. "If anything, I feel more troubled by feeling guilt for being successful because most of my friends are not." There have been times when she has not wanted to attend her own openings because she felt old friends were resentful towards her.

We go upstairs to look at the new exhibition, which papers the walls from top to bottom. The gallery consists of two small rooms decorated in custom-built Sherman murals. Against a black-and-white background of what appears to be forest (it is, in fact, New York's Central Park), a series of wacky characters stand their ground: there is a woman with a disturbing resemblance to Phil Spector collecting spring onions; an elderly woman who appears to be disabled; a boy-man who could be a knight wearing a body suit of breasts and vagina; a woman who looks as if she lunches in the highest circles when not seeing her plastic surgeon. Here she has created her "family" by digitally manipulating the faces – her face – so all the characters could be related to each other.

She admits that the longer she goes on, the harder it is to produce genuinely new work. After working on a series of photographs, Sherman often feels that she never wants to take another photo. "It might be a few months of concentrated work and then I'm just like, forget it – I don't ever want to go in the studio again, I don't want to put on any more make-up again, I'm so sick of those wigs, so sick of it all. I think a lot of artists are like that when they're in the midst of doing something."

In 1997, she directed a comedy horror movie, Office Killer, but there has been nothing since. "I recently bought a heavy-duty video camera, and took a class in video editing, but I can't think up the perfect idea for a story – that's what's holding me up."

But however much of a struggle it is, her art does continue to evolve. In the new work, she is more exposed than she has ever been before. There are no prosthetics, no make-up, not much in the way of disguise. And yet, with her subtle digital manipulations, it is still hard to find the real Sherman in these pictures. And she wouldn't have it any other way.

In fact, she says, it's not since her student days that the work has been about Cindy Sherman. Then, she photographed herself nude. "For the project I had to confront something difficult. Something I'd never want to do." And ever since, she says, she's managed to star in her pictures without giving anything away. She pauses and smiles. "I'm not about revealing myself," she says.

• Cindy Sherman is at Sprüth Magers, London W1, until 19 February