Given how adventurous and prolific Steven Soderbergh ’s filmography is, it’s a bit of a shock to realize that his new feature — his second this year, after the dark comedy The Christophers — marks only his third time at the helm of a documentary (after two projects focused on Spalding Gray). He took on a particular challenge with this nonfiction outing: Its primary source material, the 1980 conversation that defines and drives the project, has no visual component. How do you turn a radio conversation into a movie?

Soderbergh has found a way, and while some viewers might grow restless at the lack of “action,” the notable achievement of John Lennon : The Last Interview is its immediacy.…