Canadian Richard Hannay, portrayed by Robert Donat, finds himself at a bustling London music hall. While experiencing an extraordinary demonstration of recall by "Mr. Memory," played by Wylie Watson, chaos erupts when gunshots ring out. Amidst the frenzy, a terrified Annabella Smith, acted by Lucie Mannheim, clings to Hannay and convinces him to escort her back to his apartment. Once there, she confesses that she is a counterspy, having fired the shots to create a diversion as dangerous assassins pursue her. Annabella reveals that she is aware of a sinister plot to steal critical British military secrets, orchestrated by a man who is missing the top joint of his little finger. To thwart this conspiracy, she must travel to a secluded house in a small Scottish village. She cryptically mentions "thirty-nine steps," leaving Hannay puzzled about their significance.
That evening, tragedy strikes when Annabella is stabbed, but not before she warns Hannay to escape. In her final moments, she clutches a map with a small village highlighted in a circle. To avoid detection from those watching, Hannay cleverly disguises himself in a milkman's uniform before boarding the Flying Scotsman to Scotland. As fate would have it, he later discovers through a newspaper that he is now a murder suspect in Annabella's death, thrust into a nationwide manhunt. In a desperate attempt to evade the searching police on the train, he enters a private compartment and shares an awkward kiss with the only occupant, [Pamela](madeleine-carroll), played by Madeleine Carroll. Although this gambit seems successful—allowing the policemen to overlook him—Pamela eventually breaks free from his grasp to alert the authorities.
The train is abruptly halted on the Forth Rail Bridge by the police after an emergency brake is pulled. Hannay escapes and spends the night with a poor farmer, John Laurie, and his wife, Peggy Ashcroft. The couple realizes from the papers that Hannay is in trouble, yet the farmer's wife discreetly supports his hiding. However, the following day, as the farmer considers turning him in, Hannay manages to flee, using the farmer's coat as a disguise.
Upon arriving at his destination, he arrives at a grand estate and introduces himself as Annabella Smith to a maid. However, she and the head of the household, Godfrey Tearle, a professor with a missing top joint on his little finger, falsely reassure the police about Hannay's visit. Things escalate further when the professor shoots at Hannay, but fortune favors him as the bullet is stopped by a hymnbook tucked in his coat pocket. Hannay, now desperate, attempts to enlist the help of the local sheriff, only to find his story dismissed due to the professor’s good rapport with the authorities.
After a thrilling escape involving mingling with a parade and stumbling into a political meeting, Hannay finds himself handcuffed and carted away in a police vehicle alongside Pamela, who still harbors doubts about his innocence. Cleverly noticing that they are not heading to a police station, Hannay deduces that their captors have ulterior motives tied to the finger discrepancy. When a flock of sheep blocks their way, Hannay seizes the opportunity, escaping while dragging the now-willing Pamela along with him.
The duo forges ahead across the scenic countryside and spends a night at an inn, where deception becomes their only means of staying safe from their pursuers. While Pamela initially remains skeptical of Hannay’s claims, she becomes convinced after overhearing a conversation that confirms his suspicions about the plot. They strategize to reach a Scotland Yard which, unfortunately, has already dismissed the idea of a spy conspiracy due to a lack of hard evidence.
Pamela later meets Hannay again at a show by Mr. Memory at the London Palladium, where the pieces of the puzzle begin to fit together for him. Realizing that Mr. Memory is unknowingly a pawn in a larger scheme, Hannay desperately shouts out a question: “What are the 39 Steps?” Just as Mr. Memory begins to disclose critical information, chaos ensues once more when Jordan shoots him in an attempt to escape, only to be swiftly apprehended afterward. In an emotional finale, Mr. Memory reveals the vital information regarding a silent aircraft engine, as the final scene poignantly showcases Hannay holding hands with Pamela, even with the cuffs still shackled to them.
