Adapted from a John Buchan novel by director Alfred Hitchcock, a Canadian tries to break a spy ring in Scotland after he is suspected of murder.
At a music hall the expert Mr. Memory (Wylie Watson) answers questions. A scuffle starts, and Annabella Smith (Lucie Mannheim) asks to go home with Canadian Richard Hannay (Robert Donat), asking him not to answer the phone. She tells him she fired the shots to cause a diversion to keep from being killed. She is a paid agent for England, and two men wait outside. That night she is stabbed in the back and tells Hannay he will be next. He takes a map of Scotland from her hand. Hannay borrows the coat and hat of the milkman to escape and takes a train that the two men miss. On the train he hears news of the murder, and the police seek him. He kisses Pamela (Madeleine Carroll) to avoid the police; but she doesn't help. He escapes and gets off on a bridge. In the Scotch country he stays with a couple. The wife Margaret (Peggy Ashcroft) warns him police are coming and gives him a coat despite her jealous husband.
Hannay runs on a mountain and is chased by police. He knocks on a door and joins a party. He tells Professor Jordan (Godfrey Tearle) about Annabella, and Jordan tells him he is conveying the secrets out of the country. Jordan is missing part of a finger and suggests Hannay commit suicide, shooting him when he refuses. Hannay tells police a hymnal stopped the bullet, how he escaped, and the spy story. They arrest him for murder; but he breaks out through a window and joins a parade. He goes into a meeting and is asked to make a political speech. Pamela has Hannay arrested, and he asks her to make a call about the secrets. The police ask her to come for identification, and they start a 40-mile drive. Hannay asks to see the warrant; but they are not really police. Pamela is handcuffed to Hannay, and they run off, hiding under a waterfall. They stay at an inn, as Hannay keeps her from talking. They eat, and she takes off her wet stockings. They lay on a bed, as he uses her nail file on the handcuffs. They fall asleep; but she wakes up and gets her hand free. She hears the two men talk, and the innkeeper's wife protects the couple, making the men leave. Pamela tells Hannay she heard the truth and about the 39 steps and picking up a man at the Palladium.
Pamela tells Scotland Yard about the spying. They follower her to the Palladium, where she joins Hannay in the audience. Mr. Memory appears. Hannay tells Pamela that Memory has the secrets. Memory says the 39 steps is an organization of spies, and he is shot. As he is dying, Hannay asks him the secret, and he describes a silent engine. Hannay and Pamela clasp hands on their own.
Directed with fine style, an innocent man is sought for murder while trying to find spies who are trying to kill him, creating great suspense as the audience can identify with him or Pamela. The story reflects the modern intrigue involved in keeping and stealing military secrets.