Conversations With Nick Cave, a series of performances that the musician began in Australia last year, sits somewhere between intimate gig and group therapy session. The shows are a spin-off from The Red Hand Files, the regular emails he sends to fans, in which he answers questions about meaty subjects such as God, evil and grief. (A moving post about the death of his teenage son, Arthur, went viral last November.)

“It’s about intimacy and connectedness,” Cave says tonight, introducing the unusual setup. Between the interactions he plays piano-only versions of his songs, the choices dictated by random requests and the chat that emerges. “It’s terrifying,” he says.

Cave whippets around the stage in a golden-brown suit. A mix of people sit on chairs behind him, AA-meeting style; they have been selected indiscriminately, he says – “They haven’t got VIP passes.” Ushers with microphones roam the crowd as hands fly up. Initially, the exchanges resemble unburdenings to a preacher. A woman who lost her daughter to a brain tumour thanks him for playing God Is in the House. A lifelong fan tells him about his terminal cancer, and how he’d often fall asleep during treatment before hearing his favourite song, Jubilee Street, on 2013’s Push the Sky Away. But, after delivering his sympathies tenderly, Cave jokes, “Slap him awake” before singing the song beautifully.

Cave makes a convincing standup. He has the best answer for someone who asks if his wife can cuddle him (“Join the queue, love”) and goes full Bernard Manning answering a question about working away (“My wife doesn’t want me at home after two weeks”). There are also some curveballs. “What’s occurring?” asks a Gavin and Stacey fan (“Is that Welsh?”), while another fan bizarrely duels with him about the koala, his favourite animal. “It’d tear your face off,” Cave rails.

The glut of fans professing adoration gets wearing, but Cave’s nuanced thoughts about art and morality, songwriting and stage nerves are fascinating. When he confesses to talking to Arthur each night before going on stage, you can hear a pin drop. “To go on stage with that person: all fear evaporates. Nothing can go wrong because everything has gone wrong.”

His singing is also extraordinary in this intimate setting. A double header of Leonard Cohen’s Avalanche (the first song he loved) and The Mercy Seat takes your breath away. So do versions of Brompton Oratory and Into My Arms from 1997’s The Boatman’s Call, his whispers as controlled as his velvety bellows.

But the best moment is the rawest. Asked to perform a Grinderman track, he plays Palaces of Montezuma (“I’ve never done this before”), messes it up, starts again and nails it. “That was awesome!,” he cheers, and it is. We’re there with him entirely, just as he wanted.