Most of the film is a flashback told by Mathieu with additional non-flashback elements shown only at the start and end of the film.
The movie begins with Mathieu travelling by train from Seville to Paris. He's trying to distance himself from his young girlfriend Conchita, who carries her belongings in a bloodied pillowcase. Mathieu, for reasons unknown to the viewer at the start of the film, destroys these. As Mathieu's train is ready to depart he finds that the bruised and bandaged Conchita is pursuing him. From the train he pours a bucket of water over her head. He believes this deters her, but she sneaks aboard.
Mathieu's fellow compartment passengers witness his rude act. These include a mother and her young daughter, a judge who is coincidentally a friend of Mathieu's cousin, and a psychologist (who is a dwarf). They inquire about his motivation for such an act and he then explains the history of his tumultuous relationship with Conchita. The story is set against a backdrop of terrorist bombings and shootings.
Conchita, who claims to be 18, vows to remain a virgin until marriage, yet she tantalizes Mathieu with sexual promises, however never allows him to satisfy his sexual desire for her. At one point she goes to bed with him wearing what appear to be a pair of tightly laced canvas shorts, making it impossible for the couple to have sexual intercourse. Conchita's antics cause the couple to break up and reunite repeatedly, each time frustrating and confusing Mathieu.
Eventually, Mathieu finds Conchita dancing nude for tourists in a Seville nightclub. After becoming enraged, Mathieu forgives her and buys her a house. The movie's climax arrives when, soon after moving into the house, Conchita tells Mathieu that she hates him and that kissing and touching him make her sick. She then appears to have sex with a young man in full view of Mathieu to prove her independence from him.
After this, Conchita attempts to reconcile with Matthieu, insisting that the sex was fake and that her "lover" is in reality a homosexual friend. However, during her explanation, Mathieu beats her (she then says "Now I´m sure you love me"), causing her bandaged and bruised state earlier in the film (as well as the bloody pillowcase).
Just as the fellow train passengers seem satisfied with this story, Conchita reappears from hiding on the train and dumps a bucket of water on Mathieu. After the passengers alight the couple apparently reconciles yet again and walk together, arm in arm, enjoying themselves on the streets of Paris.
At that moment loudspeakers blare the news that a strange alliance of extreme leftist groups, including the P.O.P., the P.R.I.Q.U.E. and the R.U.T. together with the Revolutionary Army of the Baby Jesus, intend to sow a state of confusion in society through terrorist attacks. The announcement adds that several right-wing groups plan to counterattack.
As the couple continues their walk they notice a seamstress in a shop window mending a bloody veil. They begin arguing just as a bomb explodes, apparently claiming their lives.
The film is notable for its use of two actresses, Carole Bouquet and Angela Molina, in the single role of Conchita; the actresses switch roles in alternate scenes and sometimes even in the middle of scenes (at one point, Molina walks behind a curtain and Bouquet emerges a second later). Many film critics believe this to be an example of Buñuel's surrealist sensibilities, arguing that the odd use of casting highlights Conchita's mercurial nature. Another suggested explanation is that Carole Bouquet walked out on the production; and in other accounts, Buñuel is said to have replaced her in the middle of the production because she would not take his direction. Originally, the character of Conchita was only to be played by Maria Schneider, from Last Tango in Paris, but she objected to appearing in the nude scenes. In his autobiography, Buñuel writes that he was inspired in this particular idea by drinking.
The switching of actresses often goes unnoticed by many of those watching, is an example of the psychological phenomenon of Change blindness.