The R&B star’s first New York arena show supporting her blockbuster album “SOS” was a deft mix of styles and sounds, with guests Cardi B and Phoebe Bridgers.SZA’s performance at Madison Square Garden Saturday night was vigorous, confident, theatrical and intimate — the sort of show that manages the rare trick of feeling both vibrantly communicative and also protectively insular.But one particular five-song stretch encapsulated the range that has made SZA — whose second studio album, “SOS,” has spent 10 weeks atop the Billboard album chart — one of the most au courant performers of this era, a beacon for the vulnerable, the stubborn, the besieged and the broken.A few songs into her set, she told the crowd that she was performing a song that hadn’t previously been part of the set list, and started into “Ghost in the Machine,” a plinking whisper about needing escape. A few moments later, out shuffled Phoebe Bridgers, the beloved indie-rock singer-songwriter who guests on the track, wearing a promo T-shirt for “Smell the Magic,” the 1990 album by the all-woman grunge band L7. They sang their parts, grinning at the improbability of it all, then deeply bowed to each other.After that, SZA shifted into “Blind,” a quick-tongued acoustic soul number rich with lovely guitar curlicues, singing about all the walls she puts up, literally and figuratively: “You still talking ’bout babies/And I’m still taking a Plan B.” And after that, “Shirt,” a spacious thumper with echoes of 1990s R&B and a low center of gravity. Her voice, so breathy on the prior song, was tart here, as she worked through sinuous choreography with a quartet of backup dancers while sighing about taking “comfort in my sins.”SZA’s stage design leaned heavily on aquatic themes; at one point, she rode a lifeboat on wires high above the crowd.Nina Westervelt for The New York TimesThen, another guest: the charisma machine Cardi B, who joined for “I Do,” which features a winningly cocky hook by SZA. (Cardi stuck around to perform her verse from GloRilla’s “Tomorrow 2” for good measure, much to SZA’s apparent glee.) And following that came “Smoking on My Ex Pack,” a grounded, earthen hip-hop song in the vein of, say, Earl Sweatshirt, in which SZA navigates romantic push and pull: “Them hoe accusations weak/Them bitch accusations true.”It was, in sum, a 15-minute tour de force, spanning genres and modes, attitudes and feelings. It also felt utterly modern — indebted to the past but not beholden to it, unconcerned with old stylistic limitations, casually adroit.On “SOS,” one of last year’s most impressive albums, SZA writes about situationships with microscope acuity, self-lacerating and scowling in equal measure. In the five years that she took between albums, she became more particular, more pointed and more adventurous. That was clear on the pop-punk number “F2F,” which channeled Paramore, and “Nobody Gets Me,” which, depending on the lens, either leans heavily on Mazzy Star, or on melodramatic alt-country. She performed that one with particular fervor, recalling female power rockers of the 1990s like Alanis Morissette.This concert — the first of two sold-out nights in New York — was full of such peaks. The rapturous crowd met her up-tempo songs featuring dance routines with equal enthusiasm as her lonely ballads. On those, her voice was luscious, pure and full of nuance. (In this context, her more straightforward hits, like the Doja Cat collaboration “Kiss Me More,” or the songs with flickers of feisty verses from Kendrick Lamar, Travis Scott or Ol’ Dirty Bastard, didn’t much stand out.)SZA started and ended the show echoing the cover of “SOS”: perched at the end of a high diving board.Nina Westervelt for The New York TimesUniting it all were water themes — she opened the show sitting on the edge of a diving board, as she does on the cover of “SOS,” here wearing a navy jersey bearing the name Yemaya, the Yoruba goddess of the sea. (She returned to that perch at the concert’s end, this time wearing white.) At the back of the stage, a huge screen displayed waters that increasingly turned choppy, then undersea life. Some of her onstage setups included a huge fishing vessel and an oversized anchor, though they were more props than narrative devices.The show’s first section perhaps overindexed on choreographed numbers, but by midway through, SZA was soaring — first figuratively, and then literally, in a lifeboat rigged up to float above the crowd. Singing “Special,” a sweetly anguished song about self-doubt and jealousy, from up in the sky gave it a delicious inversion.While many artists touring concerts of this scale build to a sort of triumphant ending, SZA’s concluding run before the encore felt more like a retreat inward — the quiet storm smolder of “Snooze,” followed by the head-nodding manifesto of jealousy “Kill Bill,” one of the most unsettling smashes of recent memory. She followed that with “I Hate U,” a scalding indictment that’s virtually lo-fi on record, but here took on epic scale. And then finally, “The Weekend,” a stunningly calm song about an anxious situation, a timeshare kind of love: “My man is my man is your man/Heard it’s her man, too.” But she didn’t sound even a bit unsettled. Everyone was singing along, protecting these private troubles with public comfort.SZA performs at Madison Square Garden on Sunday. Her SOS Tour continues through March 23; szasos.com/tour. More