We consider the Riemann-Hilbert factorization approach to the construction of Weyl metrics in four space-time dimensions. We present, for the first time, a rigorous proof of the remarkable fact that the canonical Wiener-Hopf factorization of a matrix obtained from a general (possibly unbounded) monodromy matrix, with respect to an appropriately chosen contour, yields a solution to the non-linear gravitational field equations. This holds regardless of whether the dimensionally reduced metric in two dimensions has Minkowski or Euclidean signature. We show moreover that, by taking advantage of a certain degree of freedom in the choice of the contour, the same monodromy matrix generally yields various distinct solutions to the field equations. Our proof, which fills various gaps in the existing literature, is based on the solution of a second Riemann-Hilbert problem and highlights the deep role of the spectral curve, the normalization condition in the factorization and the choice of the contour. This approach allows for the explicit construction of solutions, including new ones, to the non-linear gravitational field equations, using simple complex analytic results. As an illustration, we show that by factorizing a simple rational diagonal matrix, we explicitly obtain a class of Weyl metrics which includes, in particular, the solution describing the interior region of the Schwarzschild black hole, a cosmological Kasner solution and the Rindler metric.