Haitian film-maker Raoul Peck won an Oscar nomination for his 2016 documentary I Am Not Your Negro about James Baldwin, whose writings were voiced by Samuel L Jackson; now he takes a comparable approach to a more elusive and in some ways more complex subject. This is the black South African photographer Ernest Cole whose fierce pictures of life under apartheid brought this political reality home to the US and the west, and played a real part in the pressure brought to bear on the South African government. But it was Cole’s terrible destiny to live as a stateless exile, mostly in the US, finally dying penniless in 1990 just as Nelson Mandela was being released.

Cole died of pancreatic cancer, but it’s not too fanciful to say that he also died of depression and simple homesickness, anguished by his alienation from a homeland for which he felt a wrenchingly passionate yearning. In the US, where his photo collection House of Bondage was published, he found that his public and grant-giving bodies wanted more of the same from him: more images of racism. But Cole wanted to escape the prison house of racial identity, and so resisted obvious agitprop work; yet he also irritated his sponsors by claiming that racism was just as bad in the US. Meanwhile, anti-apartheid activists left behind in South Africa felt that he had left the struggle’s frontline for a pampered American life of artistic celebrity.

The truth was very different: Cole suffered poverty and homelessness. Peck’s film, in which LaKeith Stanfield narrates a kind of heightened, fictionalised first-person account from Cole’s own writings and diaries, is devastatingly sad. It is the sadness of an artist who becomes estranged, not merely from his homeland, but from his art and his livelihood.

And the film has a curious footnote. As a result of a spell in Sweden before he returned to the US, a precious trove of his photographs and negatives were saved and deposited in a bank vault in Stockholm. So a huge part of his legacy was saved. But who did this? Cole had no idea. Should Cole’s descendants and admirers be very grateful to someone who clearly anticipated the artist’s personal catastrophe and preserved his work? Or should they resent the way Cole was separated from his precious work, without his consent, throughout the final agonised years of his life, something which deepened his depression? Even now, the Cole family doesn’t know how to feel about this mystery and neither do we, the audience; it is a complicated state of affairs, which Peck puts before us without comment. Stanfield’s sonorous, laid-back performance intuits the romantic part of Cole’s identity as a photographer and an artist.

• Ernest Cole: Lost & Found is in UK and Irish cinemas from 7 March.