“Ten thirty … once again I’m ready too soon.” So begins Colette’s 1910 novel The Vagabond, in the immediately compelling voice of Renée Néré, a Parisian music hall artist staring at her made-up face in the dressing-room mirror. “I’d better open that book lying on the make-up shelf, even though I’ve read it over and over again … otherwise I’ll find myself all alone, face to face with that painted mentor who gazes at me from the other side of the looking-glass …” And that, with all the introspection it would bring, would never do. But at last “the first bars of our overture strike up [and] I feel soothed and ready for anything, grown all of a sudden gay and irresponsible … From that moment I no longer belong to myself, and all is well.”

The shock of The Vagabond, even if one has read it before, is how immediate, funny and fresh it is; how closely observed, compassionate but also unsentimental, especially about the dignity and hurt, illness and poverty hidden behind the gaudy coats of Renée’s fellow cast-members; above all, how fundamentally “too soon” it feels, even now, in its supple weighing-up of the choices available to a woman who also happens to be an artist, and the costs of those choices.

And one of the many striking things about Sidonie-Gabrielle Colette, who was born in rural Burgundy in 1873 and died in Paris in 1954, is the sheer number of ways in which she herself existed “too soon”. She wrote novels, short stories, essays, memoirs and as a journalist reported on everything from domestic violence to the front lines of the first world war, from anorexia to literature, from fashion and cooking to fake orgasms. She devised silent film scenarios, wrote a libretto for a Ravel opera, and scripted pantomimes – in which she acted. She was a successful mime and dancer, opened a chain of beauty salons (demonstrating makeovers on her daughter) and was an enthusiastic early adopter of everything from sushi to weightlifting, perms to acupuncture and facelifts. She was for a while the literary editor of le Matin, was married three times, had relationships with women – and with her second husband’s 16-year-old son.

When Proust died, many called her the most talented writer France now had; others claimed she could have taken that crown while he was still alive. She was nominated for the 1948 Nobel prize and although denied a Catholic funeral (for being divorced) was the first French female writer to be given a state funeral. “In the prize ring of life,” John Updike once noted, “few of us would have lasted 10 rounds with Colette.” No film could begin to do justice to the range of her experience, so those who have attempted it – Danny Huston with Becoming Colette (1991), and now Wash Westmoreland with Colette, starring Keira Knightley – wisely do not try, focusing instead on her eventful enough late teens and 20s.

‘Everything after her marriage felt like a kind of fall’ … Sidonie-Gabrielle Colette in Paris, 1935. Photograph: Imagno/Getty Images

When Colette finished her first, autobiographical novel, Claudine at School, she was amazed. “I have discovered an astonishing young girl,” she wrote, in a letter to a friend. “Do you know who she is? She is exactly me before my marriage”: a wild country child, at home in fields and woods, musical, mischievous, with braids so long they rested, coiled “like a sleeping python”, as Colette’s biographer Judith Thurman has it, on the chair beside her. It was not the first time Colette described her adolescent self in tones of elegy and would not be the last.

The marriage that ended her teens had not been easy. She was 20, Henry Gauthier-Villars, or Willy, was 34, a salonière and womaniser who in their first year of matrimony laid Colette low with a combination of what sounds like depression (not least because she had discovered him with another woman) and what Thurman suspects was a severe case of gonorrhoea. A literary and theatrical wheeler-dealer, he put his own name to Claudine at School, as he did with the many writers, both male and female, who actually produced the work that made him famous. In The Vagabond, the first novel Colette published under her own name, he becomes a famous painter whose “only genius … was for lying”.

But Colette always also knew that the shock of marriage contained something greater than her own experience of a specific man: it ended any sense of independent sovereignty. And that existential shock, sometimes given to young men, too, reverberates through her fiction – from the offhand but sincere worry the courtesan Léa displays for the teenager her self-absorbed lover Chéri is about to marry, in Chéri (1920), to the masterful, quiet short novel “The Cat” (1933), in which a gentle only boy marries “an amorous and untamed young woman”. Marriage, even to someone who is kind and true is, as she puts it in The Vagabond, a “long drawn-out voluptuousness, suspended, fanned, renewed, the winged fall, the swooning in which one’s strength is renewed by its own death”.

It was a world in which lesbianism was effectively accepted – there was a thriving underground network of lesbian bars and restaurants, codes and gestures

Claudine at School was followed by Claudine and Annie, Claudine in Paris and Claudine Married. These early autofictions were instant bestsellers: “in purely commercial terms,” as the French scholar Claude Pichois put it, their success “is one of the greatest, if not the greatest in all French literature”. (A famous story, which originated with Colette and is reproduced in the new film, is that Willy locked her in a room in their country house for four hours a day to increase productivity. Thurman, alive to Colette’s self-mythologising, is unconvinced: their city home did not function like that, and in the country Colette, unable to concentrate, seems to have asked her husband to imprison her.) By the last volume, Claudine Married, Colette was reporting on a menage a trois almost in real time, with the protagonists so lightly disguised that the other woman, the American wife of a wealthy French mining engineer, had the novel pulped. But Willy, wily as ever, had retained copyright, and it was rushed out regardless.

The fin de siècle world in which Colette came of age was one where performance reigned: in the music halls; in the grand salons, where, especially if you were an outsider like the provincial Colette, you were expected to perform an exaggerated version of yourself – which, if not a great foundation for happiness, was at least very good training for a writer. It was also a world in which lesbianism was effectively accepted – there was a thriving underground network of lesbian bars and restaurants, codes and gestures, and for six years at the end of her marriage Colette’s lover was a cross-dressing noblewoman, the Marquise de Belbeuf, nicknamed Missy, with whom, for one night, she performed at the Moulin Rouge: their kiss incited a near-riot. Westmoreland’s Colette suggests Willy had little objection to their relationship because it did not threaten him as adultery with a man would have done. More interesting is to see it from the women’s point of view: intimacy on an equal footing; freedom of the mind, and from entrapping children. (Though Colette did not, when she eventually conceived a daughter with her second husband, Henry de Jouvenel, let that get in the way: Colette de Jouvenel, also called Bel-Gazou, often did not see her mother for six months at a time.)

Colette in 1949 … during the occupation of France she had written for the collaborationist press. Photograph: Hulton Getty

Yet Colette found organised feminism profoundly irritating. “You know what the suffragettes deserve?” she demanded once. “The whip and the harem.” She was both a libertine and fitfully conservative. And racist, too (even though, or because, she had African antecedents through ancestors who had owned slaves in Martinique). During the occupation she wrote for the collaborationist press and in 1941 published Julie de Carneilhan, full of anti-Jewish slurs, while at the same time having many Jewish friends; her last and longest marriage was to a Jewish man, Maurice Goudeket, who was jailed by the Gestapo in the second world war.

A more nuanced position reveals itself in her writing, however. Chéri for instance, begins with a beautiful ageing courtesan preparing to take her leave of the gorgeous, selfish young man who has been her lover for six years. Once you get past the visceral disgust/fear of the older female body it is full of respect for women who work out how to play the game of sex to their own advantage: Léa and her friends are epicures – tough, ambitious, independent businesswomen. Like The Vagabond, it is also clear-eyed about the costs: the challenge of living alone; of filling days with meaning. Léa, whose currency has been her essentially passive body – unlike Renée’s dancer and writer – finds it overwhelmingly difficult, far more so than her proud and polished nonchalance has equipped her to endure. Another great strength of Chéri is its domestic accuracy, especially about the shifting sands between two people alone in a room, the vanity and careless cruelty, the weird dance between love and clarity – “You never laugh except unkindly – at people,” Léa tells Chéri, “and that makes you ugly”. There is also the way in which people behave, so often counterintuitively and according to urges they did not suspect they possessed.

And this, if Colette had a creed, might be where it lies: in an adamant insistence on the irreducibly individual – just as she, throughout her life, insisted on her own right to be so. Gigi (a luminous 1944 novella and eventually a Broadway play that made Audrey Hepburn, hand-picked by Colette, famous, and a 1958 Hollywood film) is the story of a teenager being raised by her grandmother and great-aunt while her mother does long hours playing lowly parts in the serious theatre. The older women are taking her in hand, imparting the rarefied etiquette of the high society courtesan, not least how to avoid “ordinary people, that is to say, useless people”. Gigi prefers playing card games with a friend of a family, a beet sugar baron who drops by to escape the latest tittle-tattle about his eligible bachelorship in the press. When he proposes, her response causes consternation to the worldly courtesans, who are unable to understand her refusal to play the game.

The Vagabond, meanwhile, ends with Renée touring the south of France, having accepted an insistent, wealthy young fan as a lover, knowing he wishes to marry her as soon as she gets back. She is tempted, but as her return looms, she begins to see things more clearly. Of course she would love to be loved. To be safe. To escape the drudgery of touring (Colette once did 32 performances on consecutive nights, in 32 different towns). But the drudgery is also the price of independence. How to hold on to that, and also be what society understands a woman to be? For days she weighs it up, until a moment comes when she realises Max has not been in her thoughts at all. Instead, she has been looking for words, “words to express how yellow the sun is, how blue the sea, and how brilliant the salt like a fringe of white jet. Yes, [I have] forgotten him, as if the only urgent thing in the world were my desire to possess through my eyes the marvels of the earth. In that same hour an insidious spirit whispered to me: ‘And if indeed that were the only urgent thing? If everything, save that, were merely ashes?’”

• Colette is on release in the UK from 9 January.