While riding in a limo, the talented musician St. Vincent, portrayed by the remarkable Annie Clark, faces an unexpected crisis when she realizes that her driver has mysteriously vanished. This unsettling event serves as a springboard into a deeper exploration of her life. Through a collection of interview snippets, Clark reflects on her experiences while attempting to create a music documentary to provide insight into both her on-stage persona and her off-stage existence. Enlisting the help of her best friend, Carrie Brownstein, to direct this personal project, Clark hopes for a more intimate lens through which to convey her artistic journey.

However, things take a turn as Brownstein quickly grows disenchanted with the documentary’s aimless, slice-of-life format. Compounding this frustration are the unspoken gaps in knowledge between Clark and her bandmates about her true self, as well as the striking contrast between St. Vincent’s enigmatic, emotionally distant on-stage character and the down-to-earth persona that Clark embodies in her day-to-day life.

In an effort to construct a cohesive narrative, Brownstein encourages Clark to compose a song during the filming process. Clark agrees, but only if Brownstein plays a guitar solo on the track. With this opportunity to influence the documentary, Brownstein suggests that Clark embrace her St. Vincent character even when the cameras are off. Initially resistant, Clark finds herself compelled to fully engage with the role after a series of stressful incidents, ultimately believing that Brownstein’s lack of interest in her true self requires her to delve deeper into St. Vincent’s persona throughout the film.

As the emotional turmoil intensifies, one night, Brownstein is summoned to St. Vincent’s room, where things take a jarring turn—film clips of St. Vincent and her girlfriend, Dakota Johnson, become decidedly intimate. Brownstein’s discomfort escalates as their explicit activities unfold before her eyes. Meanwhile, Clark continually adopts the St. Vincent character, even sidelining Brownstein’s personal life and her father’s battle with cancer.

In a desperate attempt to reconnect with her true self, Brownstein invites a fan named Kim to meet her backstage. In a pivotal moment, as Kim shares her poignant story about how St. Vincent’s music, particularly “Strange Mercy,” helped her cope with her boyfriend’s death, Clark is unexpectedly overwhelmed with emotion, shedding tears in front of a perplexed fan.

As their relationship deteriorates, St. Vincent starts to ostracize Brownstein, even dismissing her from their collaboration on the song they had planned to create together. Hurt and feeling undervalued, Brownstein resigns from the project. However, as she boards the bus to leave, she is confronted by her uncle, reminding her of their responsibility to finish the documentary in honor of her father. Reluctantly, Browstein resumes her role, yet soon she realizes that her withdrawal from Clark has driven the musician to immerse herself even more into her St. Vincent persona.

Tensions climax during a concert when St. Vincent has a breakdown on stage, prompting chaos in the crowd. Brownstein’s journey takes a surreal turn when she finds herself on the bus surrounded by a bizarre party where everyone, including the band members, wears wigs styled like Clark’s. Overcome by horror, she escapes the eerie celebration while eluding an onslaught of paparazzi.

In a climactic confrontation, Brownstein interviews both St. Vincent and Johnson simultaneously, with the latter donning one of the ridiculous wigs. Emotions run high when Brownstein suggests staging a public breakup to further enhance their performance, prompting Johnson to feign distress and actually break up with St. Vincent. This triggers a spiraling descent into absurdity, leading Brownstein to stage a mock documentary, casting actors to portray her family as a stereotypically Texan blended unit.

As frustrations peak, Brownstein decides to confront the harsh truths of Clark’s life by taking her to visit her father in jail, a decision that ultimately backfires. During this emotionally charged confrontation, Clark vehemently expresses that she creates music as an escape from reality, not a means of confronting her issues.

The finale of their artistic endeavor arrives with the music video for “The Nowhere Inn,” where Clark envisions performing alongside a haunting representation of herself. However, the façade crumbles when Brownstein turns around to discover all the people she believed were part of her life journey—including her father—were merely actors paid for the production. In a disorienting twist, St. Vincent captures the moment and speeds away in the same limo from the beginning of their chaotic journey.

As they grapple with their intertwined realities, Brownstein’s decision to abandon the established route results in her fleeing into the vast desert. In a moment of self-realization, the camera zooms out to reveal the limo as just another element of the set, prompting Clark to assert that it was Brownstein—not herself—who lost sight of the documentary’s original intent.