The feature directorial debut of actress and comedian Nina Conti, “Sunlight,” reimagines Monkey, one of the characters she performs in her ventriloquist act, as the human-sized alter ego of a woman on the run from a toxic relationship. In addition to wearing multiple hats behind the scenes of the film, Conti wears two costumes, playing both the woman and the monkey.

“The monkey is much easier,” she tells Variety.

Principal photography took place in Albuquerque, N.M., just a few dozen miles from the Santa Fe International Film Festival, where the film screened on Oct. 19 with Conti and executive producer Christopher Guest in attendance. Speaking in the El Dorado Hotel lobby right after the screening, she exuded a joyful relief that “Sunlight” was well-received by festival attendees; the film’s completion and current festival run marks the payoff to a journey that began more than 20 years ago when she first...