Christian fundamentalist Harold Camping predicted that Judgment Day, aka the end of the world as we know it, would occur on May 21, 2011. Some people in Joplin, Missouri, celebrated as the clock struck midnight that night. But on the day that followed, the prediction seemed prescient; what’s now known as the Joplin tornado touched down the following afternoon, causing immense loss and devastation. The documentary The Twister: Caught in the Storm — through interviews with the city’s residents and the footage they obtained as the storm descended — retraces the mile-wide tornado’s path and the devastation it left in its wake. The film was written and directed by Alexandra Lacey (The Fake Sheikh).

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When an anomaly showed up on the National Weather Service radar on May 22, 2011, meteorologists took note: a supercell thunderstorm was forming outside...