Walk into the Whitechapel Gallery and you are plunged straight into a bar. The bottles are lined up and mirror balls dangle overhead. A tango plays and a couple are on the dancefloor. What begins to feel a bit uncanny is that I’ve watched these moves before: her checking her reflection in a mirror that isn’t there, the suave and slightly creepy bloke popping a mint before taking her hand and drawing her close, the exaggerated steps and turns, and his fumbled lunge for a kiss. It’s funny how things stay with you.

It was just like a movie, people say, when the day starts feeling unhinged. The clock is stuck at a quarter to 12, and we are watching a live re-enactment of a scene from Ettore Scola’s 1983 film Le Bal, in which the viewer is transported to different, pivotal points in the 20th century in a series of flashbacks, all taking place in the same Parisian dance hall. In the unfolding scene it is 1936, but we’re here now, and the dancers are as real as you and me. The bar is a film set and big lights are set up around the edges and the doors to the toilets are just a trompe l’oeil photograph stuck to the gallery wall. The last time I was in this bar it was 2022 at the Venice Biennale, where Zineb Sedira got an accolade from the jury for her work in the French pavilion. Here it is again. Wherever we are, we are also somewhere else.

Dreams Have No Titles is even more engrossing the second time around; the first time, you may well have no idea what is happening or where it is going. You haven’t seen the coffin yet, or sat on the small single bed, or found yourself in the artist’s Brixton living room, much less made your way to the little cinema in the last room. You haven’t wondered why cables and equipment trunks and suitcases have been left lying about. Then there’s the film-editing suite and the towers of film cans behind the Steenbeck flatbed editing table, where a spool of film is wound between the rollers and ready to go. You don’t know what you don’t know.

Sedira keeps us suspended between the real and the fictive, past and present, the mise-en-scène and the everyday. All the details are important but you won’t know why until you come back on your way out of the gallery. It is as if we were trapped in a story that keeps starting up and stopping again. There are jumps and pauses, shifting locations and broken continuities, stories within stories and films within films. One minute we are in the morgue scene from Luchino Visconti’s L’Etranger, the director’s 1967 version of Albert Camus’ The Outsider, then we are around at Sedira’s place. We’re watching a filmed conversation between her old friends, artist Sonia Boyce (who coincidentally had the British pavilion in Venice, right next to the French Pavilion) and curator Gilane Tawadros (now director of the Whitechapel), reminiscing about squatting and housing co-ops, politics and solidarity. There are multiple entanglements in Dreams Have No Titles: between the staged and the real, between her possessions and an almost seamless simulacra. This is all magical, in its conjunctions of the present and the absent, shuttling back and forth in time.

Then comes the big reveal, which complicates things even further, in a film shown in a small cinema whose seating is a nod to the small movie theatre Sedira once haunted in Paris. Her film opens with the introduction to Orson Welles’s F for Fake (itself a film all about artifice, leaving us wallowing between truth and fiction). It then takes us on a journey through her own life, and clips from movies, including Gillo Pontecorvo’s 1966 The Battle of Algiers – which Sedira first saw in London in the 1990s, and wasn’t screened in France till 2004) – and Ennio Lorenzini’s Les Mains Libres, a contentious film that was thought lost for half a century until Sedira discovered it in an archive. Coming in and out of shot as she delves into her “love story with cinema”, Sedira tells us much about her own life. We listen to her reading Frantz Fanon on Algeria’s struggle for independence and watch scenes of jubilation when it was declared. She talks about her older sister’s suicide and music and racism and humiliation.

The artist is both narrator and a character here, playing various versions of herself on her different stages of her peripatetic life, moving first from Algeria to France and then to England. Algerian and French, an Arab and a Muslim and a Berber, with conflicted, multiple identities, she also an artist, a film-maker, a director, a singer, a dancer. Here she is, twice, both herself and a cut-out figure in a miniature, doll’s house version of her film set. She sings with a band and dances against a green screen to Charles Wright’s Express Yourself, celebrating life’s complexity. How rich it all is.

• Zineb Sedira: Dreams Have No Titles is at the Whitechapel Gallery, London, until 12 May