To step into Marcel Proust’s In Search of Lost Time is to enter a sea of sensation, memory, and recollection. But it isn’t only that. In a very real sense, this seven-volume novel is Proust’s record of the lifestyle and interests of his narrator: a gentleman of leisure in late-1800s France. Barely a page goes by without him noting that this or that remembrance reminds him of a play, or a painting, or a piece of music; even the celebrated madeleine prompts memories to “rise up like the scenery of a theater.”

A pregnant kitchen maid, for example, is compared to a Giotto figure, and the narrator’s father to a Benozzo Gozzoli engraving of Abraham. Sarah Bernhardt is his—and presumably Proust’s—favorite actress (the fictional Berma comes in second). And Proust has the writer Bergotte die in front of Johannes Vermeer’s View of Delft and its “little patch of yellow wall.” This picture, Proust later wrote, is “the most beautiful painting in the world.” During the First World War, in the German Gotha bombers’ dropping their payloads on the Paris suburbs, Proust saw the swirling tumult of El Greco.

Left, Marcel Proust, circa 1896; right, After the Luncheon, by Pierre-Auguste Renoir, 1879.

Proust’s years of theater- and gallery-going coincided with Paris’s Belle Époque, and he dipped his toe into everything from Claude Monet to Gabriel Fauré to Sergei Diaghilev’s Ballets Russes. This rich cultural life is chronicled in “Proust and the Arts,” an exhibition opening next Tuesday, March 4, at Madrid’s Museo Nacional Thyssen-Bornemisza.

Pulling together a host of items associated with Proust, and with associations for Proust, the show includes self-portraits by Rembrandt (the subject of two early Proust essays); a J. M. W. Turner painting of Proust’s beloved Venice, which he visited for an extended period with his mother in 1900; and portraits of Robert de Montesquiou, the dandified aesthete who is apparently the model for Proust’s Baron de Charlus. (Montesquiou also inspired Jean des Esseintes in Joris-Karl Huysmans’s Symbolist classic Against Nature.)

As Proust’s fame grew, his cultural adventures became ever more rarefied. He didn’t just attend the 1913 premiere of Igor Stravinsky’s Le Sacre du Printemps, which ended with a notorious near riot; afterward he was invited to dinner with Stravinsky, Diaghilev, Vaslav Nijinsky, and Jean Cocteau. After another Stravinsky premiere, in 1922, the company included James Joyce; the conversation between the two writers, far from remarkable, was apparently about truffles.

A painting from Monet’s “Water Lilies” series, 1916–19.

Increasingly unwilling or unable to leave his cork-lined bedroom, Proust signed up for the théâtrophone, an early system for transmitting the audio of live concerts over telephone wires. He was also rich enough to hire the celebrated Quartet Poulet to come to his apartment and perform a piece by César Franck—by candlelight.

But it was Proust’s engagement with John Ruskin, the Oxford don who virtually invented the idea of cultural tourism, that secured his commitment to the artistic life. The two never met, and there’s no evidence that Ruskin, who died in 1900, knew the younger man even existed, yet Proust followed faithfully in Ruskin’s tracks, from Venice to the French Alps to Reims Cathedral. The Thyssen-Bornemisza exhibition acknowledges this affinity with a number of Ruskin’s exquisite sketches.

Diana and her Nymphs, by Johannes Vermeer, circa 1653–54.

Proust’s discovery in the Bibliothèque Nationale of Ruskin’s essay “The Lamp of Memory,” a chapter in the 1849 book The Seven Lamps of Architecture, triggered his worship of Ruskin. “He will intoxicate me and will give me life,” Proust wrote of Ruskin, “for he is the vine and the life.” It is something of an irony that Ruskin, the most English and Victorian of aesthetes, set in motion Proust’s journey into his own time, and in so doing opened a door to the modern world.

“Proust and the Arts” will be on at the Museo Nacional Thyssen-Bornemisza, in Madrid, from March 4 to June 8

Andrew Pulver writes about film for The Guardian and about art for The Art Newspaper. He lives in Oxford