Osborne Cox (John Malkovich) is a CIA analyst who is fired from his job at the agency ostensibly because of his drinking problem. He tells his wife he quit and wants to write a memoir about his life in the CIA. His wife, Katie Cox (Tilda Swinton), wants to divorce Osborne and, at the counsel of her divorce lawyer, she copies many of his personal and financial files off his computer and onto a CD. Katie happens to be having an affair with US Marshall/Treasury agent Harry Pfarrer (George Clooney). The CD is found at Hardbodies, a workout gym. An employee of the gym, Chad Feldheimer (Brad Pitt) obtains the disc from the gym's custodian and believes that it contains classified government information. Along with his fellow employee Linda Litzke (Frances McDormand), they intend to use the disk to blackmail Osborne - Linda needs the money to pay for cosmetic surgery.
They call up Cox in the middle of the night, but he is not receptive. Chad and Osborne arrange to meet face-to-face to discuss a £50,000 payment for safe return of the CD. Chad gets into Osbourne's car, but the meeting quickly disends into an argument, with Osbourne punching Chad in the face. Chad exits the car and Linda suddenly appears in her own car and they give chase. Linda then rams Osborne's car in a fit of rage. Frustrated by Cox's manner, Linda cdecides 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.
Harry Pfarrer, while married to a children's book writer, is a playboy dating many women from the Internet. By chance he hooks up with Linda, also an Internet dater, and they begin seeing each other. Harry is proud to show off a homemade device he saw pictured in a "gentleman's magazine". Harry has also noticed someone seems to be following him as there is always a dark car close by.
Meanwhile, Osborne returns to his home only to find himself locked out because Katie changed the locks and transferred all the bank accounts in a final move in her secret divorce proceedings. He sleeps overnight in his sailboat.
Chad stakes out the Coxs' house and breaks in after Harry and Katie leave after a daytime tryst. Harry, returns after a jog, accidentally finds Chad in a closet, and suddenly 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 he manages to tackle the man who has been trailing him for some time. Harry finds out that the man is working for a law firm hired by his wife who, it is later revealed, also has been cheating on him.
The next morning, Harry and Linda meet in a park. Linda mentions her friend Chad has been missing. When Harry realizes that Chad was the guy he shot at the Coxs', he becomes paranoid and flees in terror.
LInda's manager at Hardbodies, Ted Treffon (Richard Jenkins), is sympathetic and agrees to help her get more info from the Cox house for the Russians.
Osborne, angry and drunk, breaks into his own house with a hatchet. There he finds Ted rifling through his computer. Osborne shoots and wounds Ted, who stumbles out of the house. Osborne grabs the hatchet and attacks Ted in broad daylight.
At CIA headquarters, Osborne's former manager (David Rasche) and his Director (J.K. Simmons) try to sort out what happened: Chad is dead, Ted is dead, Osborne 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 Director suggests letting him go), 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.