Osbourne Cox (John Malkovich) is a CIA analyst who quits his job at the agency after being demoted ostensibly because of his drinking problem. He then decides to write a memoir about his life in the CIA. His wife, Katie Cox (Tilda Swinton), wants to divorce Osbourne and, at the counsel of her divorce lawyer, she copies many of his personal and financial files off his computer and onto an optical disc. Katie’s lover is Treasury agent Harry Pfarrer (George Clooney). The disc eventually finds its way to Hardbodies, a workout gym. An employee of the gym, Chad Feldheimer (Brad Pitt) obtains the disc from the gym’s custodian and ascertains that it contains classified government information. Along with his fellow employee Linda Litzke (Frances McDormand), he intends to use the disk to blackmail Osbourne – Linda needs the money to pay for cosmetic surgery. They call up Cox in the middle of the night, but he is not receptive. When blackmailing him fails, Linda decides to take the information to the Russian embassy. At the embassy, she hands the disk over to the Russians, promising that she will give more information afterwards. Because Linda and Chad don’t have any more information, they decide to break into Cox’s house.
By now Harry and Linda have met and begin seeing each other. Chad stakes out the Cox’s house and breaks in when Harry and Katie leave. Harry, however, comes back, finds Chad, and accidentally shoots him in the face. Harry, thinking that Chad was a spy, disposes of the body. Days later, his paranoia increasing after murdering Chad, Harry leaves the Cox residence after a fight with Katie. On his way to leave he manages to tackle a man who has been trailing him for some time, thinking he was working for the CIA or some other government agency. After tackling him, Harry finds out that the man is working for a divorce firm hired by his wife who, it is later revealed, also has been cheating on him. Harry is devastated and goes to see Linda.
The next morning, Harry and Linda meet in a park. When he realizes that Chad was Linda’s associate, he becomes paranoid and flees in terror.
Meanwhile, Osbourne returns to his home only to find himself locked out because Katie changed locks in a final move in her secret divorce proceedings. He sleeps overnight in his boat, and the next day breaks into his own house with a hatchet. There he finds Ted Treffon (Richard Jenkins), the manager of Hardbodies, rifling through his computer looking for personal information. Due to his feelings for Linda, Ted decided to look for more information to give to the Russians, believing that the Russians had kidnapped Chad. Osbourne shoots Ted, who survives and runs out of the house. Osbourne grabs the hatchet and kills Ted in broad daylight.
The movie ends by returning to the CIA’s headquarters, where an official (David Rasche) and his director (J.K. Simmons) are trying to sort out what happened: Chad is dead, Ted is dead, Osbourne is in a vegetative state and dying after being shot by an agent while attacking Ted, Harry has been arrested trying to board a flight to Venezuela (but the CIA wants to let him leave anyway so he’s out of their hair), and Linda has agreed to cooperate in exchange for the CIA financing her plastic surgery. The baffled CIA agents then decide that they have learned their lesson: to never repeat whatever it is that they did in this case; though they are still not clear what it is they did.