Why do women love to sing the blues? And why do we love to hear it, despite the grief and pain it springs from?

“There’s something about putting ourselves in that moment, and totally giving yourself to those moments, and those songs,” says Prinnie Stevens. “It’s not a place that a lot of people are willing to go on stage.”

Stevens is coming to the Melbourne Cabaret Festival with Lady Sings the Blues, a show about the hurt, struggle and power of women in song, drawing from the greats: Billie Holiday, Etta James, Ella Fitzgerald, Whitney Houston, Beyonce.

“I don’t know that I could have performed the show in my 20s,” says Stevens, whose own back catalogue includes musicals such as The Bodyguard and Hair. “I’ve gone deeper... I talk about these women and their stories, and then sing their songs.

“Being a woman of colour I’ve experienced [discrimination] myself, multiple times, and still do all the time. It’s something that I know. I felt that pain. And even family members of mine, my daughters go through it. My mother.

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“And when you’ve felt that pain and those discriminative actions, those little moments in life that people don’t even realise, when you receive a lot of that over your whole lifetime ... you know I have a glimpse of the experiences of the pioneer female singers.”

Perhaps the heaviest and most fulfilling moment, for Stevens, is singing Holiday’s Strange Fruit.

“Every single time there are people crying,” she says. “The first time I was like ‘oh gosh, what have I done?’