Three years ago Audra McDonald wowed Broadway – and was awarded her sixth Tony Award – for her portrayal of Billie Holiday in Lanie Robertson’s play Lady Day at Emerson’s Bar and Grill. McDonald was due to make her West End debut in the show last summer, before falling pregnant with her second child and postponing for a year. Now she’s opened in the show at the Wyndham’s Theatre and looks set to wow West End audiences for a limited season until 9 September.

Wyndham’s has been transformed into the small bar in Philadelphia where Holiday appeared in March 1959, four months from her death at the age of 44 of cirrhosis and heart failure. There is seating on the sides of the stage around a piano, drum set and double bass with further cabaret tables replacing the first few rows of the auditorium. When the audience enters, the band is already playing and we are transported to that time and place immediately.

Band leader Jimmy Powers (Shelton Becton) announces the imminent arrival of ‘Lady Day’ herself. On comes Broadway star Audra McDonald as the glamourous, though nervy and inebriated Billie Holiday. McDonald doesn’t in any way ‘impersonate’ Holiday – she becomes her. It’s a remarkable performance and only as she takes a bow at the end of the piece does the audience catch a glimpse of the persona behind the character. In a career of ground-breaking roles (from Ragtime to 110 in the Shade), this is surely one of McDonald’s finest.

Lady Day conveys both the ethos of the great talent that was Holiday, and gives an insight into the performer’s troubled life. Holiday’s raw and expressive voice conveyed a lifetime of continuous struggle, from her terrible, abusive upbringing to difficult relationships and addiction. Holiday leaves the stage at one point, returning carrying a dog, her sleeve rolled down to reveal the heroin shots she has just taken.

Music – and jazz – was her inspiration, but she didn’t fit in with the era’s expectations of what a jazz singer should look or sound like. Robertson weaves all this into the play, with McDonald as Holiday reflecting and reminiscing on her situation, including her grandmother’s death and her determination as one of the first African American vocalists to work with a white orchestra (Artie Shaw’s).

This is interspersed with the songs such as ‘What a little moonlight can do’, ‘God Bless the Child’ and the incredibly moving ‘Strange fruit’ that talk about love, life and race with such poignancy. Vocally, McDonald embodies Holiday’s tone and phrasing and it feels like a real evening in the legendary star’s company.

McDonald’s performance has developed and deepened since I saw her play this role on Broadway – the TV version that she recorded is also not as powerful as seeing a live performance. Lady Day is a picture of an era and of an extraordinary woman that leaves the audience wanting to know more about this great artiste and the injustices of the era that she suffered. And its star, Audra McDonald, is a tour de force that should not be missed.