For someone whose work has often carried the air of effortlessness, Devendra Banhart’s music comes from a place of painstaking depth. “My whole life has been filled with sadness,” Banhart says.

When Adam Green (formerly of Moldy Peaches) launched into Edward Elgar’s graduation classic, “Pomp and Circumstance,” mere seconds after walking on stage, I cringed. His set could go one of two ways: ...