Unpopular Culture, De La Warr Pavilion, Bexhill-on-Sea

A land of loners, misfits and Mrs Thatcher: Grayson Perry curates a vision of Britain which is bleak – until he dons a headscarf

Don't be deceived by the idyllic location of Grayson Perry's mesmerising exhibition. As visitors stroll towards the De La Warr Pavilion in Bexhill, they can relish its streamlined Art Deco façade overlooking a seductive stretch of Sussex seafront. But once inside, Perry's haunted imagination offers a far more unsettling vision of Britain.

Invited by the Arts Council to curate an exhibition drawn from its own collections, and scheduled for a nationwide tour over the year ahead, he has come up with a melancholy and strangely dream-like choice of paintings, sculpture and photographs. Anyone familiar with Perry the transvestite potter, who put on his best frock to accept the Turner Prize five years ago, might have expected him to focus on the most outrageous of contemporary artists. Yet he shuns the fashionable scene in favour of a more distant period, emerging from the trauma of the Second World War and term-inating well before what he calls "the onset of Thatcherite selfish capitalism".

Hence the wry title of his exhibition: Unpopular Culture. Although Perry enjoys considerable media celebrity, he plumps here for a show largely dominated by artists who never basked in high-profile acclaim. "I may be reactionary or nostalgic," he writes in the catalogue, "but for me these artworks conjure up an age before our experience of ourselves was muffled completely by the commercial and sophisticated intermediaries of television, advertising and digital communications."

Even so, does Perry realise just how disturbing this exhibition turns out to be? The first painting to confront us here is William Roberts's cluster of beefy, angular bodies gathered on a beach. They are supposedly enjoying a summer break, and yet Roberts fills his canvas to a claustrophobic extent with restless, forceful gesturing. As a result, it looks more like a fight than a seaside holiday. This stressful painting ends up revealing a great deal about Roberts's own embattled life, fiercely shut away from the world in a studio he did not allow anybody to enter.

Loneliness quickly becomes a leitmotif of Perry's exhibition. Carel Weight may include three figures in his painting of suburban London backgardens framed by bare, writhing branches and an overcast sky. But they all seem despondent and unaware of each other. And the lurching central figure in a boater seems to be oppressed by a nightmarish awareness of his intolerable misery.

No one could be more alone than the ghostly woman in Paul Nash's watercolour of the bleak seashore at Dymchurch. Even Blackpool fails to supply heartening evidence of social pleasures. In 1968, Tony Ray-Jones photographed a grim and bulky middle-aged couple scowling as they make their way along the seafront. Just behind them a colossal statue surges up, showing idealised young lovers parading their skills as ballroom dancers. Their stylish elan makes the frowning pair below look even more joyless.

"Abstract art," Perry explains waspishly, "reminds me too much of beardy art lecturers with grey chest hair poking out of their denim shirts as they spout vague unchallengeable tosh". The nearest he comes to abstraction is a Barbara Hepworth bronze called Spring. In Perry's alarming show, even this circular form threaded with string resembles a mouth parted in an enormous Munch-like scream.

Wherever we look, there is no escape from the darker side of life. William Scott, admired above all for his limpid still-life paintings, is represented here by a weirdly untypical work called Slagheap Landscape. Perry's fondness for the Kitchen Sink school of the 1950s leads him to include John Bratby's dejected women stranded in a coarsely painted room and Jack Smith's equally disconsolate figures, who seem to waver in a state of near-paralysis beside a messily abandoned dining table.

Amid all this desolation, it is a relief to discover one of Perry's own works. His large ceramic pot, called Queen's Bitter, is enlivened by oval photographs of the artist himself wearing a headscarf. Posed defiantly against derelict urban buildings, he looks like a resolute working-class forerunner of his bête noire: the blessed Margaret Thatcher. The effect is hilarious.

All the same, Perry does not allow us to laugh for long. The final exhibit in this tough, uncompromising show is his Head of a Fallen Giant – a large, recent bronze skull pierced by bolts and nails. The violence seems alarming at first. But the more I looked, the more the skull became elegiac, offering itself as a memorial to an era of British life that now seems irrecoverable.

De La Warr Pavilion, Bexhill (01424 229111) to 6 July; and tour

Need to know

Dressed as his alter ego Claire, Grayson Perry has become more recognisable than the work he produces. Born in 1960 and raised in rural Essex, he escaped into a fantasy world dominated by aircraft and his teddy bear. The decisive moment in his life as an artist occurred in 1983, when he discovered the Victoria & Albert Museum's ceramic collection. It prompted him to make his first plate, entitled Kinky Sex. It was his prowess as a potter that earned him the Turner Prize in 2003.