Osborne Cox (John Malkovich) is a CIA analyst who quits his job at the agency after being demoted, ostensibly because of a drinking problem. He then decides to write a memoir about his life in the CIA. His wife, pediatrician 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 compact disc. The lawyer's receptionist accidentally leaves the disc at Hardbodies, a health club. After her husband is served with divorce papers, Katie puts all of his belongings out in the street and changes the locks to keep him out of their house.
Two employees of the gym, Chad Feldheimer (Brad Pitt) and Linda Litzke (Frances McDormand) obtain the disc from the gym's custodian. Seeing the content of the memoir, they assume that it is highly classified information. Initially Chad and Linda plan to give the disk back to Osborne hoping for a reward, intending to use the money to pay for Linda's cosmetic surgery. However, after a confusing phone conversation and fury on Osborne's part, their original plan descends into a blackmail attempt. Chad meets Osborne, who, aware that the "information" is merely his memoirs, refuses to pay and punches Chad in the nose. 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 afterward. Because they don't actually have any more information, they decide to break into Osborne's house to steal more.
Katie has been having an affair with Harry Pfarrer (George Clooney), a womanizing Treasury agent who's spooked by unknown people who have been following him. By chance he has recently met Linda online and begun an affair with her as well. Chad stakes out Osborne's house and breaks in when he sees Harry and Katie leave. Harry, however, returns later after a jogging exercise. Surprised at finding Chad lurking in a closet, Harry reflexively shoots him point blank in the face. Chad is not carrying ID and has cut the labels out of his clothes; when Harry sees this, he thinks Chad is a spy and disposes of the body. Two days later at the CIA headquarters, an official (David Rasche) and his director (J. K. Simmons) learn that information from Osbourne has been transferred to the Russian Embassy. They learn this from the spy the CIA has within the Russian Embassy. While observing their cases on Harry, Osborne and Linda, they are perplexed as to what is going on and decide to maintain observation until the situation "makes sense".
A few days later, paranoid since he killed Chad, Harry leaves Osborne's house after a brief argument with Katie. On his way out, he spots the man who has been trailing him for some time across the street and chases him down, thinking the man works for the CIA or some other government agency. Harry discovers instead that the man works for a divorce firm hired by his wife, who is later revealed to have been cheating on him as well. Harry is devastated and goes to see an agitated Linda, who confides in Harry that her friend Chad is missing; he agrees to try to help find him (not knowing that Chad is the man he killed in Cox's home earlier).
The next morning, Harry and Linda meet in a park (Harry assuring her that he is over his paranoia) and she provides him with more information about Chad's disappearance. When Harry realizes that Chad is the man he killed, he becomes paranoid once more and flees in terror, assuming that Linda is also a spy. Linda then turns to Ted Treffon (Richard Jenkins), the manager of Hardbodies, who has feelings for her. Believing that the Russians have kidnapped Chad, he agrees to look for more information in Osborne's computer. But Osborne, finding that Katie has emptied their bank account, decides to break into his own house with a hatchet to take her liquor and jewelry. Finding Ted at his computer, Osborne shoots him. Ted survives and runs out of the house, but Osborne grabs the hatchet and kills him in the street.
The movie ends at CIA headquarters a few days later, where the official and his director are trying to sort out what happened: The CIA have cremated Chad's body after fishing it from the Cheasapeake Bay where Harry had disposed it, although they do not have any information on his identity. Ted is deceased, and Osborne is in a vegetative state after being shot by a CIA operative who had been tasked with observing him (the agent felt he could not stand by while Osborne was killing a man in broad daylight and took action). Harry and Linda have been arrested; Harry was caught trying to board a flight to Venezuela (which is stated by the director not to have an extradition treaty with the US), but the director decides to let him go to get him out of their hair. Linda promises to remain silent if the CIA will finance her plastic surgery. The baffled CIA agents, not wishing to complicate the matter any further, agree to her terms and begin to wonder what they've learned from their case, if anything at all.
