Cindy Sherman was looking for inspiration at the Spence Chapin Thrift Shop on the Upper East Side last month when she eyed a satin wedding dress. An elaborate confection, it had hand-sewn seed pearls forming flowers cascading down the front and dozens of tiny satin-covered buttons in the back from which the train gently hung like a Victorian bustle.

“It’s Arnold Scaasi,” the saleswoman said, as Ms. Sherman made a beeline for the dress. Unzipping the back the clerk showed off a row of labels, one with the year it was made — 1992 — and another with the name of the bride-to-be. “It has never been worn,” she added. As the story goes, when the gown was finished, the bride decided she didn’t like it.

Ms. Sherman appeared skeptical. Is this really what happened, or is the story just the cover for a jilted bride? One begged to know more.

That tantalizing sense of mystery and uneasiness are similar emotions viewers feel when they see one of Ms. Sherman’s elliptical photographs. Over the course of her remarkable 35-year career she has transformed herself into hundreds of different personas: the movie star, the valley girl, the angry housewife, the frustrated socialite, the Renaissance courtesan, the menacing clown, even the Roman god Bacchus. Some are closely cropped images; in others she is set against a backdrop that, as Ms. Sherman describes it, “are clues that tell a story.”

“None of the characters are me,” she explained, sipping a soda at a cafe near the shop that afternoon. “They’re everything but me. If it seems too close to me, it’s rejected.”...