Growing up, I never had a sister, but I always wanted one—or many. Reading alone in my room, I imagined myself into tight-knit literary sororities: the Bennets, the Marches, the Dashwoods. These packs had their problems—petty squabbles, broken confidences, burnt hair—but I envied their intimacy and loyalty. It was the gang first, the world second. Beyond the precincts of fiction, of course, the world has a way of meddling with such bonds. There is perhaps no better example than the Mitford sisters, the six daughters of one of England’s most peculiar aristocratic families, whose radically divergent lives—two became fascists, one...