The story They Shoot Horses, Don't They? is a somber look at desperation and depression in an era of uncertainty and want. Robert Syverten, the protagonist of the novel, is a young man who lives in Hollywood during the Great Depression and wishes to be a film director—but instead, his life is derailed. He does not have much luck finding work or making it big in the way he dreams of.

The narrative starts at the end, with Robert being sentenced to prison for murder. He acknowledges that he did, in fact, kill "her" (an unnamed woman) and that he knows he will be convicted. It is revealed that he killed a woman named Gloria Beatty, who was a close friend of his. The book intersperses Robert’s hearing for murder with flashbacks of how it all began.

The two met on a movie set where they auditioned to be extras but failed. Both want to get into the film industry—Robert as a director and Gloria as an actress. Robert quietly believes that Gloria does not have the talent or looks to make it big. He does not tell her this, but he cannot see her achieving the fame she hopes for. He sees her as “plain.” In the midst of the Great Depression, they enter a marathon dance contest together (at Gloria’s convincing) in the hopes of earning $1,000 in prize money. The marathon also offers free food for the duration of the contest. These dances were affairs spanning several weeks, where the entrants would receive a ten-minute break every two hours but otherwise had to continue dancing.

Throughout the story, the dance contest sponsors incorporate increasingly ludicrous activities, including nightly races to wear down the contests and a staged marriage. They even broadcast the arrest of one of the contestants during the marathon in an attempt to get more promotion and financial sponsorship. The organizers of the event clearly just want attention and money; they have no consideration for the people participating and wearing themselves out. Near the end, after many scandals—including a revelation that Gloria is sleeping with a judge in an attempt to improve their chances and a protest of the event—the marathon is shut down due to an involuntary murder.

After repeatedly telling Robert of her depression and desire to kill herself, Gloria asks him to end her life because she isn't brave enough. She has run away from home, left her family, and attempted suicide before. Her mental health has deteriorated with her continued experience of rejection. All this prompts her to make the final request of Robert. Sitting at the beach after finally escaping the confinement of the dance hall, Robert pulls the trigger, killing her. When he is arrested, he compared it to the mercy killing of a horse who has broken its leg, saying that she had asked him to do it. This is where the book’s title comes into play. They Shoot Horses, Don’t They? likens the murder of Gloria to the right thing to do when an animal is injured beyond healing.