“You sort of have to get close in this place, whether you want it or not,” Anna Ternheim said as she carefully swiveled around the edge of the tiny stage at Joe’s Pub on Monday night, maneuvering herself behind the piano. “I really like that,” she added. Ternheim, a Swedish singer-songwriter now based in the East Village, has played more spacious rooms than Joe’s Pub—both here in the U.S., where she’s opened for Lykke Li, El Perro del Mar and Kristin Hersh, and back in Europe, where Ternheim racked up Swedish Grammy awards for each of her first two albums.

Turned out the close quarters and intimacy of Joe’s Pub ideally suited Ternheim’s lithe, penetrating voice, moody storytelling and stripped-down instrumentation. She mostly concentrated on songs from Leaving on a Mayday, her third European release, which will be issued by Verve Forecast as her second U.S. full-length on August 11. (Last year’s arresting Halfway to Fivepoints, Ternheim’s American debut CD, culled tracks from her two previous European releases, along with a few odds and ends.)

Not surprisingly, Leaving on a Mayday will strike most American listeners as Ternheim’s most focused creation. Produced by Björn Yttling (of Peter Björn and John), the album wraps Ternheim’s direct, memorable melodies in rich, resonant settings well suited to her vignettes of love, loss and loneliness. It’s a far cry from the dance-pop escapism peddled by most of her Scandipop contemporaries: Ternheim has been likened to Beth Orton and even Joni Mitchell, but her closest stylistic forebear is probably Suzanne Vega, especially the clear, cool sound of Vega’s first two albums.

Still, Ternheim’s an original in the shaping. Here, she often held an audience spellbound with little more than her voice and acoustic guitar or piano. For a number of songs from the new album, she was joined by Leo Svensson, a Swedish cellist who doubled on glockenspiel (in a stark arrangement of “What Have I Done,” the disc’s orchestral-disco opening track) and musical saw (on the aching “My Heart Still Beats for You”). Svensson also joined three local singer-songwriters—Sharon Van Etten, Cat Martino and Clare Manchon (of Clare and the Reasons)—in luminous harmonies in several songs, and drummer Nils Tornqvist added stark tom-tom beats to a few more.

Near set’s end, Ternheim moved her microphone off to the side and brought Van Etten, Martino and Manchon up for an all-acoustic rendition of “Summer Rain,” ending in rapt silence. A gripping end to a soggy night’s show? Not quite. “I feel weird not saying thank you, good night or whatever, so I’m gonna play one more song,” Ternheim said. Mustering her forces, she played one of the most memorable cuts from the domestic version of Halfway to Fivepoints: a cover of Fleetwood Mac’s “Little Lies” that wrung more melancholy and poignance from the song than even its famously damaged originators could muster.