Martin Scorsese’s reputation is that he makes gangster epics. Yet Rebecca Miller’s stellar five-part docuseries Mr. Scorsese illuminates that, no matter the genre in which he’s operating, the American auteur has, in fact, consistently made movies about himself.

Be it the “underground man” of Taxi Driver and The King of Comedy, the rage-aholic Jake LaMotta in Raging Bull, the frazzled office worker of After Hours, the conflicted Jesus of The Last Temptation of Christ, the mad genius of The Aviator, or the blustery financier of The Wolf of Wall Street, the legendary director has spent his career telling stories about male resentment, anger, self-loathing, doubt, and loneliness.

His is an oeuvre of sexually frustrated and jealous outcasts desperate for acceptance and power—and willing to d

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