After a tremendously daring—or at least badly planned and utterly unsuccessful—attempt to rob a savings bank, Egon Olsen is jailed. When released, he has been rehabilitated by the pretty social worker Bodil Hansen and lands a steady job at a toy factory, hoping to prove he can be a lawful citizen. Despite objections from Benny Frandsen and Kjeld Jensen, Egon sets his sights on a clean life.
Although it starts well for the group, they are drawn back toward crime when they are accused of a robbery carried out in front of them in the vault of the Danish National Bank, where they work as cleaners after a factory mishap. Police believe the gang committed the robbery, but the truth is that the mafia boss Serafimo 'Spats' Motzarella arrived with a team to rob the vault and plant the loot, allegedly the Danish crown jewels, in a cello case. The jewels on display at Rosenborg Castle are copies, while the originals were to be secretly sold to relieve the economy.
The gang must clear their names by recovering the jewels. They hijack the cello case from the airport as the criminals try to flee, only for the mob to track them back to their residence, a bar in Copenhagen, which is blown to pieces as the cello case is repossessed. Through disguises and diversions, they outsmart the gangsters and reclaim the cello case, but now they are wanted not only by the gangsters but also by the officious detective Mortensen.
A long car chase and a lucky escape lead them to recruit Benny's heavily alcohol-using brother, Dynamite Harry, an explosives expert, to open the cello case at a remote gravel pit. Unbeknownst to them, Motzarella arrives from New York with a German task force to wipe out the gang and recapture the jewels. Meanwhile, Bodil tracks Motzarella, partly to test rehabilitation and partly to uncover Egon’s involvement in the alleged bank coup.
Harry's attempt to blow the lid off the cello case accidentally blows up the Germans instead. The cello case remains unopened, and Egon grows increasingly frustrated. Motzarella arrives in a helicopter, accompanied by Bodil. The gang hands over the cello case to Motzarella, who arranges a legal sale of the jewels; Bodil follows him back to the States.
Back home, Benny and Kjeld return to find Yvonne, who—with Bodil's help—has managed to restore their fortunes. Feeling vindicated, Egon strolls into a bar only to face Mortensen, who arrests him after listing a string of petty crimes tied to the jewel hunt. Egon is jailed once more.
