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For someone who says she can’t play piano properly, PJ Harvey can sure captivate an audience with it. The 37-year-old only took up the instrument to make her latest album, the superbly haunting White Chalk, and regards her technique as “hamfisted”. To reassure herself, perhaps, a metronome and assorted knick-knacks – a porcelain lady, a black-and-white photo, a tiny brass bird on a wire – perch atop a stand-up version, stripped back to reveal what Harvey calls its “ribcage, teeth and tongues”. She is still wary of the beast as she begins “When Under Ether”. We hold our breath.

Her set had opened with two howling blues songs, “To Bring You My Love” and “Send His Love to Me” (both 1995), Harvey’s guitar thrillingly feral and throaty with reverb. Such material has made her name over her seven acclaimed albums. Tonight, playing solo, she is mistress of it – raw yet sinuous, wounded but raging. What we most want to hear, though, are her newest tracks, which explore a brittle, gothic not-quite-folk and plain, unadorned “English” singing that, she says, is how the “real Polly Jean” sounds. As on the album cover, she dresses for the occasion – in a high-necked white gown, with leg-of-mutton sleeves and undiscernable graffiti scrawled on the fabric – like a jilted Victorian bride packed off to an asylum.

“When Under Ether”, an abortion narrative, is more full-bodied than on CD, veering nearer her habitual, Delta growl as she concentrates on the keys. In fact, the closest Harvey gets to that purer “church voice” of White Chalk is on “Nina in Ecstasy”, from her 1993 album, Rid of Me. That seems like a front-of-the-class confession by the most fiercely withdrawn girl in school, buoyed by the merest smudge of organ vibes. But all the White Chalk songs – from the stabbing, incantatory rhythm of “The Devil” to the craggy, vestigial twang of the title track – are adhesively compelling.

The latter is the gig’s most transporting moment. Brushed with harmonica – “it’s a bit like wearing scaffolding, playing this,” says Harvey, who is almost chatty at times – its dour notes have a funereal insistence. “White Chalk hills will rot my bones,” she sings, as Dorset and Texas become phantom musical pen pals. Rootedness, in this clammily atmospheric song, is both a source of strength and a sentence. Here, her slightly Americanised accent puts the track on a par with the mythic yet grounded grandeur of recent Bob Dylan. Unaccompanied, it could be the definitive account.

In the interviews Harvey has done to promote White Chalk, the most novel thing we’ve learnt about this guarded personality is that she reached grade six on the saxophone. But her wry reprimand to a faulty drum machine – “you’ve just got to accept that it won’t work every time you turn it on, like most human beings” – was possibly more telling. Earlier, she had used the beatbox to underpin two 1998 tracks: the dirty highway blues of “Angelene”, delivered with Patti Smith-like gravitas, and “My Beautiful Leah”, which became bleary, primitive trip-hop, as Harvey bashed at a solitary cymbal and strode through a sort of war dance.

Switching to acoustic guitar during the encore, Harvey closes with “The Desperate Kingdom of Love”, from 2004 – half-spoken, eliding her “blues” and her “folk” voices, bruised but riding out of Dodge with its head held high.

Her ovation is the loudest, most committed I’ve heard in a long while, and totally justified. Polly Jean is a rare little patch of West Country wonder.

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