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In August, 1914, World War I broke out. This was a bad time for Picasso, though it was much worse for others: he got off comparatively easy, suffering melancholy and solitude rather than physical injury or death; while Braque and Apollinaire joined the French army, Picasso, as a Spanish citizen, was able to remain in Paris and continue working. This period was rather grim for him all the same; most of his close friends were off fighting and passersby often insulted him because he was obviously young and healthy. Harder to bear was the death of Eva Gouel in December, 1915. The somber tones of the canvases of this time reflected his state of mind.

In March 1916, Apollinaire returned, wounded, to Paris. While he and Picasso remained friends, Picasso had found a new social set. A young poet, Jean Cocteau, successfully courted Picasso's friendship and involved him in a new project designing the set of the ballet Parade, and introduced him to a new and glittering circle, that of Serge Diaghilev's famous Ballets Russes.

Parade was a collaboration between Picasso, Cocteau, the eccentric composer Erik Satie, and the choreographer Léonide Massine. Picasso designed a Cubist decor, and some performers wore Cubist assemblages as body masks. At the same time, he began to court one of the dancers, Olga Koklova.

In July, 1918, Picasso married Olga, and by November the couple had moved into a chic apartment on the Rue La Boëtie. In the same month, Apollinaire died. Meanwhile, Mr. and Mrs. Picasso moved among socialites, through formal balls and fashionable resorts. Picasso continued to design for the Ballets Russes through 1924. But through it all, Picasso continued to find time to paint. His last major work in a pure Synthetic Cubist idiom was "Three Musicians," of which he painted two versions in 1921.

While Picasso continued exploring Cubism through the 1920s, he was also developing a new and very different style for himself. As a kind of counterpart to "Three Musicians," which recalled his innovations of the previous decade, he painted two versions of "Three Women at the Spring," which announced his foray into an idiosyncratic neo-classicism. The clothing of the three women recalls ancient Greek and Roman sculpture, and the modeling of the forms suggests high relief. The forms are stylized, but not splintered as in Cubism; the spatial relationships between the figures are fairly clear. Cocteau called backward-looking tendencies in the arts, such as Picasso's neo-classicism, a "call to order," a symptom of the wariness of a culture that had just weathered the catastrophe of World War I. Picasso's visits to Rome, Pompeii, and Naples in 1917, while working on Parade, may have also encouraged him to work in a classical style.

Although Picasso was turning his attention away from Cubism–the style that had made his name–his reputation did not suffer. He continued to show his work in galleries in Paris, Rome, Munich, and New York. Publishing houses soon printed his illustrations of the work of his poet friends–Picasso always got along particularly well with poets, better than he did with other visual artists–and in 1921 the first monograph of Picasso's work was issued. In the same year, Picasso's first child, Paulo, was born.

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