There is a painting in this riveting exhibition of an American factory at twilight. The lower floors are shadowy and deserted. But the upper windows glow with an eerie blue light, sinister against the dark sky. It is a scene straight out of Stranger Things, and you feel you must have seen it before, with all its redolent deja vu. Yet George Ault’s 1932 masterpiece has never been shown in this country.
Revered in America and unknown here: that is the strange fate of several artists in this powerfully atmospheric anthology of what is loosely known as precisionist painting from the 1920s and 30s. Ralston Crawford’s steel silos standing like rockets against flat cobalt skies; O Louis Guglielmi’s General Motors building soaring into the Manhattan night, its scarlet sign hanging in mid-air above like some ironic message from God; William Charles McNulty’s vertiginous vision of New York skyscrapers seen from the 40th floor in 1931. These artists are nowhere represented in British collections, any more than the stars of this show. Tate Modern itself has nothing by Edward Hopper, Charles Sheeler or Charles Demuth.

This is partly because their work was catnip to private collectors long ago; but also because the story of art, as told in British museums, stints on US modernism. From the work of John Singer Sargent (an honorary European in any case), who died in 1925, to that of Jackson Pollock, there are almost no American paintings in our public collections. The omission seems odder still when you consider that this era, the Roaring 20s and Depression 30s, is the great dawning of American culture, from skyscrapers and jazz bands to speakeasies and Scott Fitzgerald, mass production, hard-boiled gumshoes and Hollywood.
Not that these artists are unqualified eulogists; far from it. What strikes straight away at the Ashmolean Museum is the air of radical, questioning detachment. Witness Samuel Margolies’s graphic etching Man’s Canyon, in which the new buildings – the Chrysler, the Empire State and the Rockefeller Center – are all compressed into one overwhelming block, doorless and dark, impenetrable to the human ants outside. Or Demuth’s mordant Welcome to Our City, a concatenation of roofs, chimneys and towers offering no point of entry.

Precisionism speaks to both the form and the content. It is an art of exact, flat, hard-edged forms, like the new industrial landscape; but it also loves the atmosphere drifting between buildings. Here is Hopper’s marvellous Night Shadows from 1921, a bird’s-eye etching of a lone figure trailing his tired shadow through the empty street below, as the immense shadow of a streetlight falls like a forbidding black barrier before him; and his railroad scene from the following year, where a figure steps so abruptly out of the crepuscular sidings you might run into him, like an oncoming train.
George Ault’s New York Night No 2 is as beautiful a nocturne as anything by Whistler, its subject midnight in Manhattan, where the shop signs hang blind in the darkness and fog comes rolling up mysteriously up the avenue, turning the streetlights into milky white moons.

To describe this art as cool, in the contemporary sense, feels almost an understatement. Scenes frozen in all their poised purity, they sometimes step outside time altogether. The sweeping spans of Brooklyn Bridge look medieval yet modern; the sunlight rakes the brownstones in Hopper’s Manhattan now just as it did then. Georgia O’Keeffe’s panorama of the East River with snowcapped buildings, painted with tremendously soft yet precise brushstrokes in her 30th floor apartment looking down, looks exactly as it does today. The art does not date, any more than the cityscape.
If any painting can be called charismatic, not just cool, it is Demuth’s I Saw the Figure 5 in Gold, borrowed from the Metropolitan Museum in New York. This startling masterpiece, made in 1928, forms the centrepiece of this show. Hurtling towards you is the number five, once, twice, three times – and in shining gold – against a vortex of signs and vectoring searchlights. Out of something as simple as the typography and graphics of the US street, Demuth conjures the frantic present, a moment coming at the world over and again, and a homage to William Carlos William’s celebrated poem The Great Figure: “I saw the figure 5/ in gold/ on a red/ firetruck… ”

Demuth’s painting is not large, yet it feels monumental. This is true of so many works in this show, where the perspective is from on high or way down below an arching bridge or skyscraping colossus. Painting and photography feed into each other, the camera going where the easel cannot. The crowning instance is Manhatta, America’s first avant-garde art film, shot in 1921 by Charles Sheeler and the photographer Paul Strand.
A day in the city’s life is condensed into 10 glittering minutes. The camera rises up to the clouds above Hudson Bay and down to take in the Church Street El below, the train no more than a toy. People are like particles in the boulevards. The New York skyline, in negative, glows silver against black skies heavy with pollution.
The industrial sublime turns anxious. There is scarcely a painted person in this show; and it is no different in the countryside either. Factories are replaced by barns that look like shining sci-fi institutions; skyscrapers by solitary grain silos. One revelation of this show is Ralston Crawford, whose silver silos against burning Buffalo skies have something of De Chirico’s dreamy unease while looking straight towards hard-edged abstraction.
This is not an enormous show, and slightly too reliant on prints, but it is full of such discoveries. The bizarre proto-futurist paintings of the poet EE Cummings; the canvases of Edward Steichen before he quit painting for photography; Martin Lewis’s 1932 scene of a car at a crossroads in dangerous snow, no idea which way to turn: the opening of a Hollywood film.
Every great show alters or inflects one’s sense of art, and so it is with this one. And not just because it gives us precisionism in all its dour beauty; or because it presents several new Hoppers to a British audience – not least dawn on the railroad from a hobo’s perspective. Or even that it offers another Georgia O’Keeffe than the tourist-trap blockbuster (take her vision of blacking out under anaesthesia: consciousness dwindling to a frightening pinprick). It is more that a whole new chapter of the story is released. Stuart Davis’s picture of a mouthwash bottle, deadpan, pristine, so familiar, so Andy Warhol: painted in 1924. The birth of cool, to adapt Miles Davis, was almost a century ago.

• America’s Cool Modernism: O’Keeffe to Hopper is at the Ashmolean Museum, Oxford, until 22 July