[Truncated abstract. Formulae and special characters can only be approximated. See PDF version for accurate reproduction.] Theories of self-dual supersymmetric nonlinear electrodynamics are generalized to a curved superspace of 4D N = 1 supergravity, for both the old-minimal and the newminimal versions of N = 1 supergravity. We derive the self-duality equation, which has to be satisfied by the action functional of any U(1) duality invariant model of a massless vector multiplet, and show that such models are invariant under a superfield Legendre transformation. We construct a family of self-dual nonlinear models, which includes a minimal curved superspace extension of the N = 1 supersymmetric Born- Infeld action. The supercurrent and supertrace of such models are explicitly derived and proved to be duality invariant. The requirement of nonlinear self-duality turns out to yield nontrivial couplings of the vector multiplet to Kähler sigma models. We explicitly construct such couplings in the case when the matter chiral multiplets are inert under the duality rotations, and more specifically to the dilaton-axion chiral multiplet when the group of duality rotations is enhanced to SL(2,R). The component structure of the nonlinear dynamical systems introduced proves to be more complicated, especially in the presence of supergravity, as compared with well-studied effective supersymmetric theories containing at most two derivatives (including nonlinear Kähler sigma-models). As a result, when deriving their canonically normalized component actions, the traditional approach becomes impractical and cumbersome. We find it more efficient to follow the Kugo-Uehara scheme which consists of (i) extending the superfield theory to a super-Weyl invariant system; and then (ii) applying a plain component reduction along with imposing a suitable super-Weyl gauge condition. This scheme is implemented in order to derive the bosonic action of the SL(2,R) duality invariant coupling to the dilaton-axion chiral multiplet and a Kähler sigma-model.