When Diaghilev died in August 1929, Ballets Russes was in substantial debt, going bankrupt and dissolved to pay US creditors with the onset of the "Great Depression era." In 1931, Russian impresario Colonel Wassily de Basil (1888—1951) partnered with René Blum (1878—1942), who at the time served as Opéra de Monte-Carlo director, and established the Ballets Russes de Monte-Carlo company (note the plural "Ballets") to continue Diaghilew's tradition, hiring his pupils Leonide Massine and George Balanchine as choreographers. After two seasons, their relationship turned sour, with constant disagreements over staff and artistic direction; by 1934, the two partners decided to split. Wassily continued as Ballets Russes de Colonel W. de Basil; René Blum launched his new company in 1937, Les Ballets de Monte Carlo, financed by philanthropist Julius Fleischmann Jr. (1900—1968) and his World Art Inc. foundation. Blum headhunted Léonide Massine the following year and appointed him as artistic director. However, all of his ballets were published jointly under Blum and Basil, who now refused to give permission or sell his rights. Massine filed a lawsuit against Colonel in London, claiming the original copyrights and "Ballet Russe" trademark, with mixed results — the judge only confirmed his ownership of ballets created before 1932 and permitted both parties to use the "Ballet Russe" name. (Colonel de Basil continued his company as Original Ballet Russe until 1947.)

Blum and Massine rebranded as Ballet Russe de Monte Carlo (singular "Ballet") in 1938, debuting in London. Curiously, competing troupes shared the same manager, Sol Hurok, who unsuccessfully tried to reunite Basil and Blum; they often booked simultaneous tours and performed at venues merely blocks away, occasionally even sharing dancers. The company mostly toured in the United States, regularly performing at Opéra de Monte-Carlo and collaborating with many renowned choreographers, like Michel Fokine, George Balanchine, Bronislava Nijinska, Frederick Ashton, Agnes de Mille, and Valerie Bettis. Some of the prominent dancers and ballerinas who performed with the Ballet Russe de Monte Carlo over the years include Alexandra Danilova, Maria Tallchief, Nicholas Magallanes, Lois Bewley, George Zoritch, Alicia Alonso, Cyd Charisse, Marc Platt, Irina Baronova, and Leon Danielian.

In December 1941, soon after the Nazis occupied France, René Blum was arrested in his Paris home. His life ended tragically — after detention at several French camps, Blum died at Auschwitz in September 1942. Sergei J. Denham (1897—1970), one of Fleischmann's World Art Inc. executives, took over as the director. The company solely toured in the United States and Canada during the Second World War, residing at Opéra de Monte-Carlo between 1944 and 1948. The Ballet Russe de Monte Carlo went bankrupt in 1968.