This beguiling show "about things lost and found" brings an archetypal off-Broadway experience to Notting Hill. On leaving the theatre, I half expected to find myself in Greenwich Village rather than the Bayswater Road.

Gone Missing marks the British debut of New York company The Civilians, which specialises in the documentary-drama that is currently enlivening theatre on both sides of the Atlantic.

The piece was created from interviews with New Yorkers about their experiences of losing things, though the brief is a broad one. Alongside accounts of lost rings, pets and clothes, we also hear of people who have lost their love, their mind and their life.

And, this being a New York show, the verbatim speech is accompanied by witty, tuneful and often extremely touching original songs about loss, written by Michael Friedman and performed with terrific brio by the six-strong cast. The performers (three men and three women) are superbly versatile and, in their retro suits, shirts and ties, watching them is like encountering Gilbert and George in triplicate.

Steven Cosson, who also directs, has constructed the show with great skill. Narratives about different forms of loss are cunningly interwoven, interrupted by a song, and then further developed later. And the mood is enormously varied, ranging from the touching to the blackly comic, the tragic to the joyful.

The philosophy of Plato, Freudian theory, and the true meaning of the word nostalgia (it derives from a Greek compound meaning the pain of homecoming) are all given an airing, though the show's manifest intelligence is accompanied by the lightest of touches.

Of course, the biggest loss New York has suffered was the Twin Towers of the World Trade Centre, and the lives of the thousands of people inside it. It is a mark of this show's assurance that this momentous event is only fleetingly referred to, yet somehow shadows the whole production.

The cast impersonate a vast range of characters, ranging from a pet psychic and a"disposeaphobic" counsellor to a tough New York cop who tells a succession of hilariously grisly anecdotes about the dead bodies he's dealt with. There are also moments that suddenly pierce the heart – the recovery of a child's much-loved doll from a rubbish tip, the woman who feels she has somehow "erased" her frugal uncle by losing the money he left her with foolhardy investments on the stock exchange.

All six members of the cast shine – Maria Dizzia's rendition of the haunting song Hide and Seek is particularly fine, while Mark Saturno's morbid cop, with his tales of decapitated bodies and eels in the orifices of waterlogged corpses, proves weirdly irresistible.

Gone Missing is imaginative, ingenious and staged with great panache, and beyond its humour and heartache lies a profound human truth: perhaps we only truly value those things we have lost.