A picture by an unknown photographer from 1902 shows a landscape littered with fallen bodies. It’s a startling image. No obvious catastrophe has occurred and it’s too neat to be a war. It’s called “Vagrants asleep in Green Park, Central London”. Fatigue has felled them. They are simply lying down.

“In a Dream You Saw a Way to Survive and You Were Full of Joy” is a touring exhibition that began at the Hayward Gallery in London, and is currently on show at the De La Warr Pavilion in Bexhill on Britain’s south coast. It is curated by Elizabeth Price, who won the Turner Prize in 2012. Artist-curated shows are around a lot at the moment. Luc Tuymans, a Belgian painter, recently curated a brilliant capsule exhibition of James Ensor’s work at the Royal Academy in London. The Hayward has a history of them: Mark Wallinger, Grayson Perry, Jeremy Deller and now Price have all had the pick of the collection. Galleries see artists curating shows as an opportunity to refresh or overturn the received opinion – many big institutions show only a fraction of their holdings at any time.

For artists, who look at other artists all the time anyway, it’s like getting the keys to the sweet shop. Their curatorial responses are not necessarily bound by narrative or chronology, so other impulses come into play: surprise, curiosity, recognition, politics, personal resonance, love. For the viewer, they are by nature imaginative enterprises that collapse history and style and provide a window onto how an artist thinks. Here, then, might be how Elizabeth Price thinks.

She sets about the project of curating as she would an artwork. She is known for her complex video mixes of music, text and archive footage, which explore aspects of social history through connections that might be thematic, formal or gestural. She moves between fact and fiction. Here she works around a strong, central premise that is curiously simple: the horizontal, and the horizantal figure in particular.

There are many sleepers in art. Recumbent figures abound, mostly female, mostly vulnerable. Price uses the idea as a structural device that allows her to bring together an astonishing amount of work. She navigates obliquely through dreams, death, fatigue, lines and lulls, into memorials, gestures, processions, celebrations, gathering her material under four themes: sleeping, working, mourning, dancing.

Some of the connections are blunt – the opening of the show is a snooze-fest, with too many photographs of people sleeping – but others are associative and sly. Guilio Paolini’s “Necessaire”, an austere stack of white paper, is shown near observational drawings of icebergs in delicate pencil from an early polar expedition, and a photo of a ticker-tape parade which is a storm of white lines, mimicking a ruined negative. Oppositions abound: black and white, the individual and the group.

Processions appear in different guises, as movement across a page, across a horizon, across a life. “Triumph of the Emperor Maximilian 1” is a monumental woodcut by Hans Burgkmair, made in the 16th century to celebrate the Emperor’s life. Sadly, that life was cut short before it was finished, so the banners and flags proclaiming him great were left blank. What remains in the hands of the celebrants are squares and furled strips of solid black. Elsewhere, a poignant photo from the funeral of Russian artist Kazimir Malevich in 1935 shows his famous painting “Black Square” propped on the bonnet of a car.

The “Working” and “Mourning” sections are the strongest. Mourning, as Freud said, is also intensive work. “Historic Photographs: To Crawl into – Anschluss, Vienna, 1938”, by Gustav Metzger, a German artist who died last week, is a vast image on the floor, showing Jewish men and women being forced to wash the streets shortly after Hitler’s annexation of Austria. But it is covered by a drape. The only way to experience it is to crawl on your knees under the cloth. Jo Spence, a pioneering feminist photographer, appears in both sections. In the first, “Remodelling Photo History: Industrialization”, her body is earthbound, lying prone in a landscape that is neither beautiful nor lyrical. In the second, taken when she was dying, Spence becomes a visionary figure, floating softly above a ploughed field: a Blakean angel in middle age.

But for all its sombre tone, the cumulative energy running through the show is sensual. It is there in Spence, in the intimacy of sleep and the curled up bodies on the grass, in the ecstatic carnality of skin on skin in Carolee Schneemann’s “Meat Joy” and in the comedy of Claude Cahun’s “I Extend My Arms” (pictured top), showing a pair of outstretched hands emerging from a stone monolith. A video by Fikret Atay, “Rebels of the Dance” is full of suppressed animation. Two boys are holed up in a lobby outside a Kurdish wedding in full swing. The boys are caught between the camera, teenage reticence and the banality of their surroundings but the music is contagious. They begin to dance. The boys don’t touch but are tuned intently to each other. Music makes for connection and commonality. Filming and dancing are improvised, dreamed up in the moment.

The exhibition started at the Whitworth in Manchester and will go on to the Glynn Vivian Gallery in Swansea. The show at Bexhill is its smallest iteration. But, banded by the sea, Bexhill is a good place to see it. This is not a landscape show, still less a seascape show, but the horizon, pale and scarcely drawn on the day I was there, gives it stately form.

In a Dream You Saw a Way to Survive and You Were Full of Joy De La Warr Pavilion, Bexhill, until May 1st