In 1880s London, pornographic bookseller Verloc is a double agent for the Russian government, providing information to Chief Inspector Heat about a lazy anarchist organization. In order for the anarchists to be arrested, an act of terrorism must occur. So Verloc decides to set up bombs – which leads to tragedy – not only for himself but also for his family, including wife Winnie and brother-in-law, Stevie.

Recently widowed well-to-do Laura Henderson purchases the Windmill Theatre in London as a post-widowhood hobby. After starting an innovative continuous variety review, which is copied by other theaters, they begin to lose money. Mrs Henderson suggests they add risqué burlesque acts similar to the Moulin Rouge in Paris.