I hadn’t expected the sudden pang of sadness as I walked in and saw all those gaudy, gloriously naff outfits. My eyes went straight to the studded trench coat – slightly frayed – that Prince wore in Purple Rain, and I was intensely aware he wasn’t inside it. He would never wear any of those costumes, or play any of those daft guitars, again.

The clothes looked child-size, tinier even than I remember him being. For all their brocaded opulence, they made him less immortal than he’d seemed in life. As did the other artifacts in the O2’s My Name Is Prince exhibition: the grubby notebooks and yellow legal pads he scrawled his lyrics on; the road-worn flight cases in the special “VIP” rooms; the bar of Dove soap in his backstage makeup box.

I don’t know why any of these relics should have surprised me. For all his “godlike genius” (to use that overblown rock-journo phrase), Prince was as human as the rest of us, a fact made starkly clear by the nature of his passing – an overdose of the “hillbilly heroin” Fentanyl just 18 short months ago. But he operated on a level of enigma, artifice and musical extravagance that bordered at times on the supernatural.

Nik Cohn, the first great rock journo, called Prince the most naturally talented musician in the history of pop; I wouldn’t disagree. A walking one-man mash-up of Sly Stone and Stevie Wonder, Jimi Hendrix and Mick Jagger – not forgetting James Brown, naturally – he could somehow do anything and everything. Including, as it turns out, wash his face with Dove soap.

One might legitimately ask why My Name Is Prince, like the record-breaking David Bowie and Alexander McQueen exhibitions, wasn’t put on at the Victoria & Albert Museum. Its curator, Angie Marchese, told me there are no fewer than 8,000 “pieces” at Prince’s old Minnesota home/HQ Paisley Park, so there’s certainly no shortage of items for a far bigger show. Could it be because he was African-American? Or just because he was ultimately less savvy about fashion than Bowie, let alone McQueen?

Yet that’s one of the things I find most endearing about My Name Is Prince. The entire exhibition is a testament to an essentially small-town notion of glamour, a homemade synthesis of glam androgny and neo-psychedelic dandyism that mirrors the synthesis of the man’s greatest music.

Prince never moved to the coasts; never worked with name designers; never became just another papped celeb in Versace or Lagerfeld (or McQueen). All the outfits from 1987 onwards – starting with the faintly revolting orange-peach ensemble created for 1987’s creative zenith Sign ‘O’ The Times – were made by his own team of seamstresses at Paisley Park. That includes, of course, the matching high-heeled footwear that indirectly killed him. Decades of dancing in them did for both his hips and left him in constant agony. Hence the Fentanyl.

If anything about the exhibition disappoints, it’s the relative paucity of items from the pre-Purple Rain years: no jockstraps from the Dirty Mind days, not a lot from 1999, barring typed lyrics for ‘Little Red Corvette’ and other songs from that breakthrough album. (There’s nothing at all from the late ’70s era of ‘I Wanna Be Your Lover’ and his first two albums for Warner Brothers.) There was something so fresh and D.I.Y. about the hybrid new-wave punk-funk of Prince’s formative period; I’d like to have seen more of it at the O2.

But there’s more than enough to compensate for the absence of 2-Tone badges and kinky garter belts: a multitude of bizarrely-shaped guitars; a recreation of the stage Prince used in his last years; the “third-eye” sunglasses designed in 2014 by Minneapolis sisters Coco and Breezy; and notebooks for the Dreams script that became Purple Rain, with dialogue for Vanity rather than her successor Apollonia. (Embossed on one of the exhibition’s encased notebooks are the words “I’m not crazy I’m creative”. But as we all know, there’s a very thin line between genius and madness.)

Prince was such a weird little dude: so self-possessed, so spookily smart, so almost otherworldly. The one time I interviewed him was the oddest pop encounter I’ve ever had. Yet walking bleary-eyed (and a little teary) around this exhibition, I remembered how radical and revolutionary he was: a miniature purple god, part magus, part satyr, as lewd and libidinous as he was emotionally daring. He made Madonna and Michael Jackson sound like hacks.

And even here, walking through the vaults and wardrobes of his thrilling career, he remains an enigma – a man behind a mask.