Macy Gray, Jazz Café, London

Soul survivor's got it covered with her sexed-up show

Macy Gray calls her band the Sexy Things, the crowd "sexy people" (as if it's actually our names), and sings Rod Stewart's "Da Ya Think I'm Sexy?" For Gray, sex, like music, is earthy, funny, and gives clues to some happy, higher purpose. In between versions of songs by Yeah Yeah Yeahs, Arcade Fire and others from her new album, Covered, there's a telling skit in which she's advised to become a "more rounded artist like Britney Spears", or otherwise ape her peers' fame-clinging shticks. But though she has seen a steep commercial slide from 1999's giant hit "I Try", Gray remains her untamed self.

She fails to hide her high, upswept grey-brown hair behind a pillar of the intimate Jazz Café, before taking her place behind her bejewelled mic-stand, and waking us up early by demanding inhibition-blowing screams. The new albums covers are interspersed with her own songs, and well chosen: Radiohead's "Creep" toys with self-loathing in the way her own older songs do. Metallica's "Nothing Else Matters" is the most cleverly transformed, becoming some lost, funky rock ballad from late 1970s FM radio. The covers-playing remit is extended when the Jackson 5's joyous "ABC" is played while she switches costumes, and Stevie Wonder's "I Wish" and Donna Summer's "On the Radio" are simply spun jukebox-style, Gray hiding her face in her hands with pleasure at Wonder, as the band get up to dance.

Gray's voice sometimes deliberately sounds as if she's swallowing and snatching at words, but is fuller and more precise than it seems, roaming over her band's beats to hit her own spot. It could stand softer backing, but the band's aim is uplift and dancing. For Awolnation's "Sail" she changes into an old soul singer's long dress, singing its lyrics of ADD and suicide with mournful triumph, over gospel-soul keyboard vamps.

"I Try" is a song about possessed love sung with assertive passion and expansive purpose, not hit-singing obligation. She breaks it open with an improvised monologue, telling her lover she's so enraptured that, when he's out of the room, she sniffs his underwear. "I said, baby, it's the new thing!" she declares, impishly unrestrained. Then she's making us chant her signature word, "freedom", segueing into "No more war". Finally she holds her mic over the dancing crowd, handing the song to us, delighted at the party she's started.