Freeman Williams’s review published on Letterboxd :
One of the best discoveries I've made in the last year is how much I really, really enjoy the early Hitchcock movies. A string of six thrillers, made from 1934-1938, on a low budget and meant to be "second features" for American movies, are fine-tuned little entertainment machines, engrossing and compelling.
The Lady Vanishes is Hitchcock's penultimate British movie before making the move to Hollywood. In a fictitious European country, a young Englishwoman, Iris (Margaret Lockwood) is befriended by an elderly governess, Miss Froy (Dame May Whitty) on a train that will take them on their first leg back home. Having had a knock on the head at the station - an apparent attempt to kill Miss Froy - Iris falls asleep only to find, upon awakening, that Miss Froy has vanished. Not only that, everyone on the train maintains that Iris boarded the train alone, and there is no Miss Froy. Iris' only ally on the train is Gilbert (Michael Redgrave in his film debut), a charming rogue she had a meet cute with the night before.
Hitchcock keeps the paranoia bubbling through the second act, ensuring that two clues that prove the existence of the missing woman are obliterated. There is a wonderfully colorful assortment of characters on the train, some of whom are in on the conspiracy, others who are not, but are complicit nonetheless for their own reasons. A barrister who fears the disclosure of his adultery, and two cricket-obsessed Englishmen who will brook no interference with their trip back to watch an all-important test match.
It's these last two, Charters and Caldicott (Basil Radford and Naunton Wayne) who are one of the most enduring aspects of the movie. Deliciously droll and so quintessentially British, the two essay their characters with absolute precision; and if they are obstructive at first, when the chips are down in the final act, they rise to the occasion, take arms, and help get things done. In fact, they are so good, the characters showed up in several more unrelated movies (one of which the Criterion Collection was kind enough to include on their blu-ray)
There is an urgent political undertow to the movie which gets surprisingly overt in that third act, given that Chamberlain was involved with the appeasement of Hitler at the time. But that is only one more ingredient in what may be the perfect suspenseful, yet light-hearted, thriller.