“Ballets Russes” is a first-rate documentary about the various and evolving Ballet Russe companies, as told by some of its participants — including Alicia Markova, Irina Baronova and Maria Tallchief.

Natasha Middleton’s ballet studio and company are evolving in their second decade, but she said she stays true to her main philosophy — perpetuating the tradition of the Ballet Russe while training ...