Nate (Mickey Rourke), a small-time jazz musician and recovering heroin addict, is clearly a hard-luck case. After a performance one night, he is mugged and bound. He awakens to find himself in a vehicle driving him out to the desert, but he is helpless to do anything about it. His assailant then walks him into the desert, and is about to kill Nate, but the assailant is shot by a band of Indians, and Nate is left unharmed. Nate then finds a circus in the desert, and is drawn to the exotic beauty of Lily (Megan Fox), a sideshow performer who has wings on her back. Lily is cold and dismissive, but it dawns on her that this gentle giant may well be her ticket to a better life. The sideshow owner (Rhys Ifans) attempts to kill Nate, but Lily rescues him by stealing a truck, and together they flee to the city.
Nate and Lily begin to form a relationship. Nate, fearing another assassination attempt, seeks out Happy Shannon (Bill Murray), a gangster with deep pockets who ordered Nate killed after Nate slept with his wife, whom he also had murdered. Nate plans to put Lily on display for paying customers, and offers Happy 75 percent of the proceeds. Happy dismisses the proposal and does not believe that Lily has wings, but later sees for himself using binoculars.
Happy then abducts Lily, and to keep Lily content, he agrees not to harm Nate so long as Nate stays away from Lily. Nate realizes he is in love with Lily, and attempts to break her out of Happy's custody. Together, Lily and Nate run to the top of a building, chased by Happy's men. Nate tries to convince Lily to fly away, but Lily does not have confidence in her ability to fly. Nate then jumps off the building, and Lily jumps after him, discovers that she can indeed fly. She catches Nate before he hits the ground, and together they fly off into the desert.
Nate looks down on the ground below as they are flying, and sees his own corpse at the spot in the desert where the Indians had shot his assailant, suggesting that everything that happened from that point was actually a dying dream. He is last seen being carried away by Lily into the sky.