The film unfolds in three distinct segments followed by an epilogue, although these divisions are not explicitly labeled, allowing the viewer to engage more deeply with the narrative. It opens with a young woman dressing in revealing clothes associated with the sex trade, as she makes her way along a long road leading from her apartment. On her journey, she encounters a nun who is soliciting alms; the woman generously donates some money, showcasing a moment of compassion. However, as the nun continues her path, she meets a pimp who confronts her with disdain, deeming her charitable actions as "useless."
The young woman, who is a prostitute, forges a friendship with a woman who operates a small convenience store. Later, while returning home, she has an unsettling encounter with the same pimp, who attempts to entice her into his services. She firmly declines, lamenting that she struggles to care for herself. In a café, she faces distress when a large man repeatedly pesters her, calling her "Alberta," which seems to trigger deep emotions within her. Later, as she prepares to entertain an American client, she is overwhelmed and ends the interaction before it begins, leaving him frustrated and confused.
Continuing her day, the nun persists in her quest for donations, while the prostitute is once again met by the persistent pimp. As events unfold, he orchestrates a "live sex show" to entertain some Japanese clients. The large man reappears, continues to refer to her as "Alberta," and eventually pays her for her company. However, his request is simple: he asks her to undress and turn around several times, ultimately determining that she is not the "Alberta," he seeks. He shares a poignant tale of his childhood friend Renato Munoz, who fell in love with a wealthy girl named Alberta, leading him to join the Communist rebellion in the Philippines. This revelation portrays a deep-rooted resentment toward Alberta, who the man believes was solely responsible for his friend's disappearance.
As the night progresses, the nun, Rina Abad, appears visibly troubled as she undresses in her room, and soon finds herself next door with the prostitute. They reveal to each other the struggles they face due to their involvement in an unconventional therapy led by Julian Tomas. This therapy, aptly named MELANCHOLIA, is designed to help both women cope with their haunting pasts. However, Rina begins to show signs of deeper despair, causing Alberta to grow concerned for her well-being.
Alberta desperately attempts to reach out to Julian, only to be met with vehement denial as he insists, "I am not Julian," while furthering his commitment to the therapy in unsettling ways. The tension escalates during the live sex show, highlighting their unease with Julian's escalating commitment to his role. Following this, Rina mysteriously vanishes, leaving Alberta worried about her friend's health.
Julian’s performance art therapy becomes increasingly surreal and disturbing, where he is seen pacing about, engulfed in the absurdity of his methods. Alberta, concerned for both Rina's welfare and Julian's obsession with his therapy, confronts Julian, stating that his methods are neglectful and detrimental to Rina, who has succumed to despair. In an attempt to assist, Alberta rescues Rina’s abandoned daughter, Hannah, from a life of prostitution, bringing her home. As Alberta recounts her and Rina's childhood friendship, a tragic end looms closer.
Rina's untimely death leads to a sobering funeral, where Julian is confronted by Rina's mother, who unequivocally blames him for her daughter’s demise. Gripped by sorrow, Julian retreats into his own depression, wrestling with thoughts of potential suicide. Meanwhile, Alberta comes across Julian's book titled Melancholia in a bookstore, and is overwhelmed with emotion after reading it.
The film then shifts focus to Renato and the Communist rebels, who navigate the perilous Philippine jungles while grappling with their mental stability. As they fight to maintain hope, the toll of their situation leads one soldier to despair, ultimately resulting in tragedy. Renato, left alone, writes letters to Alberta, chronicling his unyielding sorrow and the inescapable nature of loss, hinting at a tragic fate for himself as well.
Finally, we find Julian in a somber reflection by the river as Alberta confronts one of his earlier performers, expressing doubts about Julian's therapeutic methods, yet feeling lost in the belief that Julian holds a divine role. Struggling with her own understanding of Julian, Alberta resolutely declares that his therapies are ineffective and to move past the grief of his wife while he continues to cling to his denial, repeating, "I am not Julian" wordlessly emphasizing the profound impact of identity and personal tragedy in their lives.