Gerald and Sara Murphy were admired—adored—by many of the best-known members of the transatlantic avant-garde in the 1920s. John Dos Passos, their frequent guest both in Paris and on the Riviera, wrote happily of being “entertained . . . with great elegance and a great deal of gin fizz.” For Fernand Léger, Gerald was “the only American painter in Paris.” F. Scott Fitzgerald dedicated Tender Is the Night to them; the novel’s protagonists, the Divers, were modeled on the Murphys. Perhaps the best indicator of the breadth of their sparkling circle is a souvenir menu from a party they threw to celebrate the première of Igor Stravinsky’s ballet Les Noces in July 1923. The card was signed by, among others, Jean Cocteau, Pablo Picasso, Natalia Gontcharova, and Cole Porter—warm friends all. The menu is one of many intriguing items featured in the exhibition Making It New: The Style and Art of Gerald and Sara Murphy. The Murphys’ story has been told often, and always with a sense of fairy-tale wonder. “Once upon a time there was a prince and a princess,” begins one friend’s account. Both Sara and Gerald had privileged upbringings: she was from a wealthy and socially ambitious...