A great big Ku Klux Klansman is staring down at a teeny little Nazi whose innards have been ripped from his body. The Klansman raises a shocked hand to his mouth. Perhaps this is a moment of revelation: the white supremacist witnessing the special fate devised for his kind in a vision of damnation in which SS soldiers take turns to torture each other for ever, with occasional support from sinister clowns and hydra-headed mutants.

Or perhaps the Klansman is like us – and we like him, by dark obverse – just one more spectator at a Chapman brothers exhibition, gawping at their hellish dioramas.

There are dozens of these Klansmen stationed through Come and See, the Chapmans' densely crammed retrospective at the new Serpentine Sackler Gallery in Kensington Gardens. Each is as preposterous as the last. Shop-window mannequins got up in conical hats, feet encased in rainbow socks and Birkenstocks (fascist hippies), robes embroidered with Smiley badges (fascist Christians, or Californians, or clubbers… take your pick), they are surrogate visitors, earnestly examining the art.

Squeeze past the first of these hoods and you scarcely heed the second. They cancel each other out. It would be easy to miss the fact that one of them is posed as if buggering another in the throng. They are not quite frightening or funny, not quite striking or forceful – what are we to think when we don't even notice the Klan?

Well, nothing much, of course. For these are not Klansmen any more than the harbinger crows perched above us are alive, or the figures cut out of cardboard are actually coupling on their plinths. All is superbly crafted artifice, as the closed circle of big models looking at miniature models implies. The Chapman Brothers (to adapt an early title) Are Artists.

Indeed, they seem especially intent on this point, lining the walls with delicate watercolours and pencil drawings in the manner of Leonardo. The opening work is a booth full of paraphernalia related to their 20-year career, from slides of youthful works to Halloween masks, ping-pong eyeballs, latex brains, brushes and paint. There is farce and melodrama to this art: this is openly declared. It feels as if the brothers want to get these issues straight from the start.

But straight is the opposite of the gallery experience. Old and new jostle together in a loop of feedback, round and round the converted gunpowder depot. The mutant mannequins are reprised in cardboard, the Smiley badges reappear as insignia on Nazi banners, the spoof tribal effigies belonging to the Chapman Family Collection, with their spearing references to McDonald's, are remade in paper and glue.

In one teeming diorama, Ronald McDonald is crucified by the Nazis; in another, it's vice versa. The Chapmans could go on – and they do. Tank after tank of torments show the timelessness of hell with real inventiveness, as well as a drubbing repetition, with dinosaurs copulating as space shuttles disgorge yet more Nazis. There is no end to the moronic inferno.

There is some authenticity to these repetitions: after all, if you believe that the world is pitched towards nihilism and inhumanity then you would hardly change tack and depict anything redemptive; it would seem like an act of bad faith. But what the Chapmans believe, what they maintain… this is not the subject of their works.

There are evasions at every turn. The relentless obscenity and violence is meticulously encapsulated in models, machines and vitrines – boxed horror, mini antics, mediated hell. The visitor staring into these adult-height underworlds notices the homage to high art as disembodied legs plunge into the blackness (the aesthetic is more Bosch than Humbrol these days), but feels nothing. Is there true intent to shock? It's never clear.

Take the Sieg Smile banners: switching the emblem of evil with the badge of innocence is so fatuous you cannot take it seriously. And are we really meant to associate southern Klansmen with smiling west coast hippies? The equations are an incitement all right, but only if you get worked up about them – and that's never the effect of the work.

The Chapmans customise old portraits so that the faces appear to be rotting, eyelids putrefying to reveal eyeballs, skulls visible beneath the skin. They are pure Hammer horror: not remotely disturbing. Yet they must exist to some end beyond their means, or so it feels, if only because there are so many of them.

The Chapmans' art is directed at something that could be probed – fear of death, of nothingness, of the impacted pile-up of hell. But it misses the spot every time. Perhaps this is deliberate; perhaps this shortfall is where the jokes are meant to enter in. Yet the humour is never fulfilled. The show has that prolific energy for which the brothers are known, but although the works come at you in a torrent, each remains stolidly inert.

And this art, or sullen craft, increasingly gets in the way. By the time Ronald McDonald has appeared as an African artefact, a bronze statue, a crucified clown and a pilot at the controls of a plane in a massive tapestry, his potency as an emblem of any sort has waned. The characteristic Chapman trick – of taking extraordinary pains with the craftsmanship while remaining morally non-committal – has lost its potency.

There are new works: efficient little death machines that take a hammer to a human head, say; or a screwdriver to a penis. The separate elements – nails, brains, maggots, ordure – are methodically arranged like still lifes on a table top and then cast in solemn bronze. Which is then painted in disgusting colours that glisten like wet bodily fluids. The only proper response is precisely the one thwarted by each lugubrious iteration of the same idea – namely, to laugh.

The Chapman brothers (born 1962 and 1966) have included their own juvenilia in this retrospective – creepy critters made when they were scarcely teenagers, acknowledging the schoolboy strain that survives in their art. This is both consistent and honest. To let go of all this excess, these infinite varieties of horror, monstrosity, violence and obscenity, would amount to capitulation. The torture must never stop.

Across the bridge, the original Serpentine Gallery has been transformed into a triple cinema for the enthralling films of the Egyptian artist Wael Shawky, including his best-known Cabinet Crusades, which narrate Middle Eastern history through the use of puppets.

Puppetry allows for magical miniaturisation, brilliantly deployed here to depict the terrible cycles of war over centuries, using the same cast against a backdrop of scarlet flames, parched deserts and glittering Lurex rivers. The dialogue is poignantly performed with subtle gestures and the characters named in subtitles as if they were appearing in a documentary. Even the strings play their part, quivering blood red in the night like sheaves of lethal weapons.

Shawky's puppetry is remarkable: from the dip of a seductively long-lashed lid to the snort of a brutal soldier, from the captives' sung laments to the camel that doubles as a narrator. And the puppets are here in person: a glass case full of wonderfully diverse characters conflating hints of real people (Arafat, Sadat) with animals so that the figures of history become mythical creatures. They are fashioned in ceramic with articulated mouths and reflective eyes that can flash with fury or glisten with tears. The spectacle is so expressive that the long-ago past becomes unexpectedly real.