Canadian Richard Hannay (Robert Donat) is at a London music hall. While watching a demonstration of the fabulous powers of recall of 'Mr. Memory' (Wylie Watson) shots are fired. In the ensuing panic, a frightened Annabella Smith (Lucie Mannheim) holds on to Hannay and talks him into taking her back to his flat. After the bus ride there, she admits that she is a counterspy, and that she fired the shots to cause confusion because she is being chased by assassins, who are standing outside on the street. She claims to know of a plot to steal vital British military secrets, masterminded by a man with the top joint missing from his little finger. To stop the plot, she needs to go to Scotland to a large house in a small village. She mentions 'thirty-nine steps', but does not explain their meaning.
That night, Annabella is stabbed in the back with Hannay's knife, but manages to warn him to flee before dying. She is clutching in her hand a map of Scotland with a tiny village circled. To sneak out of the watched flat he borrows the uniform of a milkman and soon boards a train to Scotland. He sees police searching the train and learns from a newspaper that he is the target of a nationwide manhunt as a murder suspect. To throw police off his track, he enters a compartment and kisses the only occupant, Pamela (Madeleine Carroll), and the searchers skip the compartment. She however frees herself from his unwanted embrace and alerts the policemen. The train stops right at the Forth rail bridge from having the emergency brake triggered and Hannay jumps onto the bridge and escapes. The police mount a huge effort to find him, that include his being chased from an autogyro, a precursor of the helicopter.
He stays the night with a poor crofter (farmer) (John Laurie) and his young wife (Peggy Ashcroft), who realizes Hannay is on the run, but keeps quiet. The next morning, the husband is about to turn him in to a search party but he leaves, aided the wife, wearin