Raoul Peck’s life is as fascinating as his films, filled with unexpected twists and turns. From his early stints as a cab driver and journalist, to a minister of culture post in his native Haiti, to teaching, to founding his Velvet Film production shingle to his breakthrough when he earned an Oscar nomination as producer/director with the James Baldwin doc, “I Am Not Your Negro,” the common denominator is Peck’s drive to make life better through his work. “I went into film because there were things I wanted to say, to express or deconstruct,” he explained. “And there is a fight to be had about the state of the world and wherever I’m living.”

On May 20, Peck will have his third Cannes premiere with the Special Screenings doc “Ernest Cole: Lost and Found.” It chronicles the life of a South African photographer — another of Peck’s...