In the heart of the city still stands a one-storey Russian neoclassical mansion, acquired in the mid-19th century by Sergei's grandfather. This house was nicknamed the "Athens of Perm." After his parents moved here, they swiftly transformed it into a cultural hub of the city, where its elite held weekly gatherings, singing songs, playing musical instruments, staging amateur performances, and sometimes showcasing visiting artists. Despite the city's remote location, far away from Moscow and St. Petersburg, the family felt like they were a part of metropolitan cultural life, and Sergei's stepmother Elena ordered the latest books, musical recordings, and magazines from St. Petersburg. The young Diaghilev's former classmates recalled that he found his school studies incredibly boring, and soon focused all his concentration on learning languages, reading books, playing the piano, and acting.

A year later, Diaghilev visited Paris yet again, this time bringing with him the Russian Ballet. The troupe included dancers from Russia's Mariinsky and Bolshoi theaters. Diaghilev picked the performances himself, relying on the 29-year-old Michel Fokine for his production skills, who had a hard time making his career in the conservative Mariinsky Theatre. Fokine's Le Pavillon d'Armide, Les Sylfides, and Nuit d'Égypte all referenced the art of Europe, while the Le Festin and Les Danses dances represented exotic Russian art. The backdrops and props for the performances were designed by Alexandre Benois and Léon Bakst. The tour's true symbol was the dancer Anna Pavlova: An image of her in the arabesque position adorned the posters.

Diaghilev's new stars were Tamara Karsavina and Vaslav Nijinsky. Deprived of stable funding and constantly on tour, the impresario was forced to dispense with multi-act ballets – his company mostly staged one-act productions, letting it tell three completely separate stories during a single night. Thanks to Diaghilev, the three part ballet night still remains the most popular performance style in the West.

During the early years, each new tour of Ballets Russes was more successful than the previous one. At first, Diaghilev sold tickets promising Russian exoticism, which he delivered with aplomb. Productions like Petrushka, The Firebird, and Scheherazade surprised the public with their avant-garde style, even compared to the innovative European performances. The famously controversial 1913 production of The Rite of Spring by Igor Stravinsky with choreography by Vaslav Nijinsky became a turning point for Ballets Russes – it basically cut Diaghilev and his troupe off from Russia even before the onset of World War One. During the final rehearsal of the ballet, things truly kicked off as the audience was divided into two groups based not on their ethnicity or class, but rather their taste: Traditional ballet fans and avant-garde aficionados attacked each other, brandishing chairs and umbrellas.

From this moment on, Ballet Russes was no longer an "expo" of Russian art.

The premier of the Parade ballet was another milestone for Diaghilev. To create this performance, he assembled a team consisting of Frenchmen Jean Cocteau and Erik Satie (responsible for the music), Spaniard Pablo Picasso (who designed the sets and costumes), and the Russian choreographer Léonide Massine. The "cubist ballet" they produced was only staged once, and it was poorly received. But this did not deter Diaghilev, even without stable funding; the opportunity to experiment was the most important thing for him.

For this reason, his company often found itself ruined financially, and he was personally teetering on the brink of bankruptcy. Sometimes he didn't even have the money to pay for his hotel room. But Diaghilev was not prepared to sacrifice his principles. Thanks to this, Ballets Russes gave the world Nicholas Roerich, Natalia Goncharova, Achille-Claude Debussy, Sergei Prokofiev, Vaslav Nijinsky, and George Balanchine, among others.