There are three ways to turn Sir Arthur Conan Doyle's Sherlock Holmes into a tv series or movie. The first is to do something akin to House, where the bones of the character are there but little else. The second is the Sherlock or Elementary route that reimagines the detective for the modern world. Finally, there is the platonic ideal of the canonically accurate Sherlock of Victorian-era London, which is what Sherlock & Daughter has done.
Sherlock and Daughter finds itself back to basics, but with a new take to differentiate it. Even within this canon-compliant version, the whimsy that has permeated the property is all but gone. What we are presented with is a London that veers much more towards Penny Dreadful than the Robert Downey Jr. films.
A new detective in London in Sherlock & Daughter
The series is in an odd place where it wants to have a back-to-basics Sherlock Holmes, but it also wants for something other than the typical Sherlock and Watson dynamic. As a result we are given Amelia Rojas (played by Blu Hunt), a young woman who has come to London for Sherlock's (David Thewlis) help, and she may or may not be his daughter.
Amelia makes for a fairly solid audience surrogate as someone that knows of Sherlock and his methods through Watson's books, just in the same way that we do. We got to have that connection of knowledge through cultural osmosis with her and, as a result, that puts us firmly in her viewpoint throughout this first episode.
"The Challenge" gives her plenty of opportunities to shine, too. It does a decent enough job of showing the disadvantage she is in as an American woman in Victorian London without havign that feel overwrought. This world isn't designed for her to succeed, but she's shown to be perfectly capable to make it through. Almost immediately, we are rooting for her and are firmly on her side to be able to get what she wants. A lot of that is due to how charming Blu Hunt is and how easy her chemistry with virtually every other actor on the show is.
Crucially, this is the case with Hunt and David Thewlis, who gives a very convincing older Sherlock and could probably do this in his sleep. Those two performances and how they work together is how this show could have easily and quickly fallen apart because if their dynamic doesn't work, then the entire series doesn't work. Thankfully, they do have a nice back-and-forth with each other that can easily be built upon going forward.

Is Sherlock & Daughter worth watching?
As for how this works as a series premiere, it is awkwardly paced. Most first episodes have to contend with setting pieces into place for the rest of the show going forward and also demonstrating what the rest of the show will look like. Sherlock and Daughter manages that balance far less gracefully than one would like.
It's too interested with setting up a longer mystery and conspiracy with the kidnapping of Watson and the new American ambassador's daughter, Clara, and the murder of Amelia's mother. It does that and sacrifices more of the detective work we could get from Sherlock and Amelia, which it certainly would benefit from. This puts the audience in the weird position of not being able to judge this series because it feels like an incomplete sampling.
Yes, it's good but there's not enough there to see what it's trying to do as a series and that's a rough caveat to have.
Sherlock & Daughter airs on Wednesdays at 9/8c on The CW.
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