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Eddie Redmayne, left, as Lili Elbe, and Alicia Vikander as Gerda Wegener, in The Danish Girl. The colours used in each scene create an uncanny rendering of Einar Wegener’s early paintings.Agatha A. Nitecka

It takes only a few minutes into The Danish Girl to be visually immersed, to feel as though you've stepped into a story told as a series of distinct paintings, each specific colour palette and aesthetic a completely articulated world.

In Tom Hooper's new film about painter Einar Wegener (Eddie Redmayne), the transgender pioneer who in the 1920s became Lili Elbe, his art dealer's navy suit, gold jacquard waistcoat and cravat match the colours of his gallery walls. When Gerda Wegener (Alicia Vikander) and her husband, Einar, walk along the Copenhagen canal to attend a fancy ball, both dressed in women's evening clothes, the navy, copper and teal colours of their gowns subtly reflect the undulating reflection of the nearby boats on the water.

The film's English production designer Eve Stewart and Spanish costumer designer Paco Delgado have worked together before (on Hooper's Les Misérables, for which both were Oscar-nominated), but the visual harmony here is even more heightened because the film's three portions each adhere to a restricted palette and style inspired by the milieu and emotional mode covered in the story (Copenhagen, Paris and Dresden), as well as the artists' own work. Further complicating the process and making continuity crucial is that the art department recreated more than 70 of the artists' paintings as set decoration.

"It began from the actual apartment where Einar and Gerda had lived," Stewart says over the phone from London, "with the peculiar melancholy light that you get in Scandinavia that helped me into those colours." Apart from the two main sets – Einar and Gerda's Copenhagen and Paris apartments – Stewart persuaded the production to shoot the rest on location in Copenhagen and Brussels, where a wealth of Art Nouveau architecture stood in for bohemian Paris.

From golden-yellow row houses to the glimpse of an ochre building façade as Einar practises walking in woman's heels, the locations that comprise each scene are in precise colours. The effect is an uncanny rendering of the same muted greys, blues and mustards of Wegener's early landscape paintings that continues into the costumes, cut in flat linen and drab wool. "I walked around Copenhagen a lot," Stewart says, "and found this amazing orange street of naval military houses. The exact same shade."

Delgado, on the phone from Philadelphia, where he's at work on M. Night Shyamalan's upcoming thriller, Split, chimes in that the costume cues came from the predominant colours of the city: "It was very good emotionally for the story, to show the rigidity in the society in Copenhagen."

Initially, Einar wears the typical men's wear uniform: slim, dark grey and navy suits with many-buttoned waistcoats and starched collars so high and stiff they almost choke. "From the beginning, Lili was in a body that didn't belong to her; that the body she was in was like a prison, in a way, and we wanted to show that," Delgado says.

As Einar's identity progresses into womanhood, so does his wardrobe – his men's hats, suits, coats cut ever more generously, becoming women's dresses in ever more sheer, delicate floral details and fabrics.

Stewart's production design also highlights the nature of Scandinavian architecture, "where it seems as though it's one big space you're living in, in a very modern way, but divided, so you feel there's a certain distance between the people all the time. I felt that was really good with the narrative, on the space – when they were feeling close and when they were feeling distant, it was quite an important structure." The other inspiration for that look and feel was the work of Danish painter Vilhelm Hammershøi, whose austere paintings of people in minimalist, icy blue and grey interiors convey a poetic detachment.

The Paris chapter, by contrast, is lavish, with over-the-top colours in costumes; the couple's apartment is an overcrowded pattern riot stuffed with texture, art and objects that cover every surface. The team found clues for this period in Gerda's own portraits of Lili and in her fashion illustrations for periodicals, such as La vie parisienne and Vogue. In several paintings done in their apartment studio, elaborate fringed piano shawls drape on furniture and there are overlapping layers of kilim rugs covering the floors. The walls of the apartment set were built with architectural salvage, of a disassembled French-panelled room that Stewart bought on eBay. "The actual auction period was really scary because we'd made the offer and there is that terrible time when everybody's bidding – the last three seconds like a Hitchcock film," Stewart says.

Even supporting characters are inextricable from their surroundings. In one scene, dancer friend Ulla (Amber Heard) bursts into the studio and her costume, while technically adhering to Copenhagen's strict navy, yellow and grey palette, manages to disrupt the calm equilibrium. The loose silhouette and ochre shades of her geometric patchwork velvet coat (one that Delgado says was explicitly inspired by designer Sonia Delaunay's colourful harlequin collection of the period) have noticeably acidic undertones that break the muted mood. "As a famous dancer she travelled around Europe and knew Paris and the avant-garde, and that was how she dressed. She is the only one in Copenhagen who would be allowed to have those sorts of colours and free costumes," Delgado says.

In another scene, there is a fleeting walk in the stunning passageway beneath the opera house that's covered in ornate gold tilework ("A gift that we had to get in somehow," Stewart says). "Remember, this is a tale about two incredibly visual people," she adds, "artists who also photographed each other endlessly, and the joy of anything unusual and visually stunning would have appealed to them."

That fleeting location ties back to a gold lamé shift, cut from period lamé that Delgado's team sourced from an antique textile dealer – because modern fabrics don't fall or behave in the same way as those of the period. "Especially in the Twenties, with a lot of really really fine crepes, silks, embroidered chiffons," that Lili wears. The solution was to buy up old and damaged dresses and use them as fabric for new garments.

Delgado wanted the costumes of their friend Hans (Matthias Schoenaerts), who acts as Gerda's emotional support, to be imposingly masculine, traditional tailoring with strong shoulders, "yet at the same time soft and not exactly fluffy but the materials for his suits were soft, pale and touchable wools, like a very high-quality flannel, to create the feeling of being at ease and welcome in embracing him." That inspiration came from an Edward Steichen photograph of Gary Cooper, "in a very soft, beautiful three-piece suit. Gary Cooper was a sensitive tough guy – a masculine and yet very romantic guy!" Stewart had the same approach with her choice of Hans' office.

"I liked the fact that the Art Nouveau was sort of understated and had a kind of masculinity laid on top of it, so it worked on two levels." Stewart says that was the trickiest location ("in a very precious Belgian museum") to secure. "The fact it was in HD meant we weren't lugging in giant hot lights, so they said yes. That was probably one of the only advantages for HD." She jokes of its unforgiving nature on pigments requiring 10 days just applying depth on coats of wall paint to the sets, so they wouldn't look too crisp and modern

The film's third act – of Lili's later days in the Dresden medical clinic – is antiseptic and stark, all plain, white tiles. "Going back to the novel and the diaries," Stewart says, "there was an odd mixture that Lili documented of feeling very heavenly, taken out of the world where she struggled to being accepted into this very light place."

The scenes here are meaningfully devoid of any art, colour or adornment. "I felt that Lili had become her own work of art, so that by the time she was in her bedroom near the end, I thought it was great to put a blank canvas behind her."