In 1925, the 19-year-old artist Rex Whistler met the 52-year-old Edith Olivier at a house party in Italy. Within hours, they were arguing spiritedly about the nature of power. Within days, Whistler had persuaded Edith to shingle her hair and raise her skirts, embarking on a new life as a Bright Young Person. Within weeks, this unlikely friendship had become the central relationship in both their lives, as it would remain for the next 20 years.

Almost immediately, they transformed each other. Whistler was a diffident, chiselled beauty, a dazzling draftsman whose Arcadian scenes were at odds with the artistic climate of his time. Although he had started to move in aristocratic circles (he met Olivier through the decadent young peer Stephen Tennant), he was awkwardly aware that his father was a builder. Olivier encouraged his romantic vision and introduced him into society, finding him a patron to pay the rent of a London studio.

Olivier was an energetic and original woman whose autocratic father had prevented her from straying far beyond the family home. In her 20s, she had briefly acquired independence by studying at Oxford. During the first world war, she had almost inadvertently established the Women’s Land Army. But it was only now, bereft of both father and sister, that she could realise her talents. Encouraged by Whistler, she began to write dark, fantastical stories set in the Wiltshire countryside she loved. Her first novel, published in 1927, was an immediate success.

Anna Thomasson uses their friendship to tell their life stories, following them both until their deaths in the 1940s. This doesn’t sound immediately promising; before reading the book, it’s hard to see how a celibate 20-year friendship could sustain our interest over the course of so many pages. But it’s a relationship that provides a window on to a fascinating world, and the story is narrated with elegant verve.

Part of the interest lies in the enticing cast that quickly gathers in and around Daye House, Olivier’s picturesque Wiltshire home. There is Diana Cooper, Diana Mitford, Ottoline Morrell, Edith Sitwell, Winston Churchill. Most prominently, there is Siegfried Sassoon (who has a lengthy affair with Tennant) and Cecil Beaton. If we know Olivier now, it’s because we recognise her from Beaton’s photographs, casually louche on the lawn with a cigarette in her hand or posed as a stately Elizabeth I at one of their many elaborate fancy-dress parties. Like Whistler, Beaton came to rely on Olivier for artistic and emotional advice. “I really adore her and love her more than almost any friend I have,” he wrote in 1931, with only mild hyperbole.

But most of all, the interest – even the suspense – of Thomasson’s account comes from the central relationship itself. Both Whistler and Olivier were virgins when they met. More interested in love than sex, they were dreamers who encouraged each other’s taste for elaborate fantasies.

As their friendship became more romantic, a language of courtly love developed. This could be flirtatious: “Seeing you against that pink pillow in bed the other day,” Whistler informed Edith, “I feel I must, in honesty, raise your marks for seduction from five to at least eight!” They enjoyed the frisson of physical intimacy. Sharing a suite of rooms with Whistler at a house party, Olivier noted in her diary that her bath was “really in his bedroom, but we are so easy with each other that this seems all right ”. Another time, she described dancing with him at a fancy-dress party where he removed his wig and danced with “his own shapely head” on view. “His beauty unbelievable ... it was a dream ... it must remain a dazzling memory.”

It would be easy to dismiss them both as sublimating sexual desire: her for him, and him for the often overtly homosexual young men he gathered around him. Thomasson doesn’t forget the importance of sex for both of them, but she is also alert to the possibility of other kinds of intensity. In the process, she portrays an emotional climate subtler than our own; certainly one in which friendships were more intense than they commonly are now, perhaps because people were more accustomed to repressing sexual inclinations.

In the first decade of their friendship, both Whistler and Olivier seem to have been content to live celibate lives, fulfilled by the creative and loving closeness of their friendship. This had its costs. For her, it could be exhausting keeping up the high spirits and jet-black hair of her youth, and socially awkward spending so much time with a coterie of younger men. It’s not surprising that she avoided either thinking about or meeting Whistler’s mother. She was uneasily aware of the indignity of an evening spent cavorting in Soho with Whistler and Beaton, pretending that she was drunk.

There was also the more painful cost of loving a man whom she knew to be only on loan to her. This is pain that animates her first novel, The Love-child, which tells the story of a lonely spinster who brings into being an imaginary child called Clarissa, “the creation of the love of all her being”, only to murder her accidentally, casting Clarissa from her mind after she falls in love with a man. Thomasson’s reading of the novel is subtle and convincing. She portrays Olivier as using her writing to live through the betrayal that she, more than Whistler, knows must ensue.

The drama, cleverly marshalled, of Thomasson’s account, comes from Olivier’s fear that Whistler will leave her, that mere friendship, however intense, leaves you without claims. The curiousness of the relationship leaves the reader eager to know what will transpire. And Thomasson is an excellent guide, ready to answer the most difficult questions, but reluctant to judge or to simplify.

In the end, sex does intrude. Whistler is almost seduced by an older man and then falls in love with one impossibly unattainable beautiful and aristocratic girl after another, eventually losing his virginity aged 29. But it is war that irrevocably separates them, leading Whistler to the French battlefield, where he writes to Olivier hoping for “the great joy” of seeing her again. His death a few days later leaves their love intact, enabling her to dream of his ringing the doorbell and embracing her “with great love” before she dies of grief, unable to face “this long lonely life without him”.

• Lara Feigel is the author of The Love-charm of Bombs: Restless Lives in the Second World War. To order A Curious Friendship for £16 (RRP £20) go to bookshop.theguardian.com or call 0330 333 6846. Free UK p&p on online orders of more than £10. A £1.99 charge applies to telephone orders.