Alongside sarod and percussion, the sitarist and composer—daughter of virtuoso Ravi Shankar—closes out her suite of mini-albums with a record dedicated to musical heritage and blissful optimism.

Sitarist Anoushka Shankar unveiled her latest album, “Chapter III: We Return To Light”, on Saturday in collaboration with Sarod player Alam Khan and a jazz and classical percussionist Sarathy Korwar.

To the casual observer, Anoushka Shankar is the poster child of the sitar, the classical Indian instrument made famous by her late father, Ravi Shankar. Yet what makes her music so distinct is the ...