In Juarez, Mexico, Sidney Snow sits atop a horse under a tree, a noose secured around his neck as the three Fuentes brothers prepare to hang him. Sidney covertly uses a knife to cut at the rope binding his wrists while bantering with his sidekick, Jose, who is being held at gunpoint nearby. Asked by Marcos Fuentes if he has any last words, Sidney responds, "Life's a mystery," and frees his hands just as Marcos gives the word to hang him. Jose snatches the gun from the second Fuentes brother, shoots him, and tosses the gun to Sidney, who then shoots Marcos. The third Fuentes brother shoots Jose, followed by Sidney shooting the third brother.
The shootout now over, Sidney is left hanging from the tree, his neck still in the noose. He begins to cut at the rope, but drops the knife as he slowly loses consciousness. Abruptly, the rope snaps, and Sidney drops to the ground, still alive. He struggles to his feet, picks up two pistols, hops on a horse, and rides away, leaving everyone for dead. Back by the tree, Marcos stirs and coughs.
Hearing a commotion, Cullen rushes to his tent, where he finds Naomi has just killed a rat that was in William's crib. "This baby needs a home," Naomi says. "I'm working on it," Cullen replies.
In front of the newly-reopened casino, Jessup announces to an assembled crowd that guns are now banned from the casino floor and will be collected in barrels outside. The crowd boos. Mickey tells Durant he gave the casino away in exchange for freedom -- from jail and from Durant.
Sidney awakens on a train to find a young boy staring at the pistols on his hips. They pantomime shooting one another, and the boy giggles. The conductor announces the train has reached the end of the line: Cheyenne.
Sidney disembarks from the train and is immediately besieged by various solicitors. He hires a prostitute, and while having sex with her inside the brothel, he glances out the window and sees Cullen and Psalms walking by. Still naked, Sidney leans out the window and shouts "Colonel Bohannon!" Cullen looks to see who's shouting his name, but chooses not to respond and continues walking.
Later that day, Sidney finds Cullen loading gear onto a train and introduces himself. He reminds Cullen that they fought together in Virginia back in '64, and says of Cullen, "I never seen a meaner Yankee killer." He asks Cullen for a job, and Cullen turns to Psalms, who agrees to hire him.
On Sherman Summit, Cullen and Sidney work side-by-side, clearing rocks from the grade. "Come out here looking for glory, best look elsewhere," Cullen advises. "I followed you into war, reckon I'll follow you into this," Sidney replies. When Monroe complains to Psalms that Sidney is slacking off, Sidney overhears him and tells Cullen he can't believe that he's working under a "n***er boss." "Your boss too if you aim to be here," Cullen responds.
As Heckard reports to Campbell on the town's compliance with the casino gun ban, they hear a long, loud creaking noise. Suddenly, one of the walls rips off and is dragged away behind a horse. Campbell and Heckard run out of the building just before it collapses entirely. Durant sits in a chair nearby, reading the latest edition of the Cheyenne Leader. He presents a furious Campbell with an official writ, citing "permission from the commissioner of the General Land Office to invoke the right of Eminent Domain for the construction of a roundhouse." Durant points out to Campbell that the roundhouse will be used to turn trains around so they can head back east, "where some people belong."
Cullen and Sidney relinquish their guns before entering the casino for a drink. At the table, Sidney offers Cullen tobacco, "fresh from an English dandy I met down in Juarez," and suggests they take off to find a better life in Denver. Cullen inquires what happened in Mexico as he points to Sidney's neck, saying, "I ain't never seen rope burns on a live man before." Sidney explains that it was a result of "a misunderstanding with a senorita." Cullen invites Sidney to stay with him and Naomi until he can find a place of his own.
Mickey offers to buy Jessup a drink, but Jessup says they "no longer accept patronage from Irish scum." Mickey responds that it's unwise to kick a man while he's down, as "he's liable to kick back."
At the Cheyenne depot, Marcos Fuentes and a posse of Mexicans disembark from a train.
Brigham Young arrives at the Mormon fort. Aaron Hatch introduces himself and thanks Young for coming. Young asks to see the accused impostor, noting, "I hope your indictment is beyond reproof and this is not a waste of my time."
During supper with Naomi, Sidney and Cullen reminisce abut the war. Ignoring Cullen's protests, Sidney tells a story about how they once came across a medical train full of sick and wounded Yankees, all unarmed, and killed them all. Naomi's face drops in dismay.
Campbell visits Durant's train car and declares his intention to "rid this city of corruption, then seize your railroad." Durant calls him delusional.
Mickey jumps Jessup in an alley and chokes him to death with a rope.
Sidney brings Cullen a bottle of whiskey and they have a drink by the fire. "I know you got hounds on your heels for something you did over the border," Cullen says. Citing the risk to his family, he retracts his offer of a place to stay.
Wallace brings Jessup's corpse to Heckard and Campbell.
Cullen confesses to Naomi that Sidney's story was true, and says he's no better than Sidney. "That's your mistake," Naomi says.
At the casino, Eva plays poker with Sidney. After realizing he's cheating, she folds. As she stands up to leave, Sidney sees Marcos Fuentes step through the casino's front door. He steals a kiss from Eva and scrambles out the back, with Marcos and his posse in hot pursuit. Sidney grabs a passing rancher to use as a human shield and takes the rancher's gun (having come from the casino, where firearms are no longer allowed, Sidney is separated from his own pistols), but quickly discovers the gun is empty.
Sidney runs into the general store looking for bullets. Inside the store are Naomi, carrying William, and the shopkeeper. Both of them duck and hide. Sidney kills two members of the Mexican posse as they come through the front door, but Marcos is able to sneak up behind Sidney and puts a gun to his head. Marcos again asks for Sidney's last words. In Spanish, Sidney responds, "Life's a mystery," before throwing a handful of powdered fertilizer into Marcos's eyes. While Marcos is blinded, Sidney grabs Marcos' gun and shoots him dead.
Hearing a noise coming from behind a nearby barrel, Sidney shoots at it. A body falls to the floor, and Sidney sees it's the young boy from the train. When the shopkeeper accuses Sidney of murdering a child, Sidney kills him too. Sidney then hears William begin to cry and turns to fire again, but holds off when he sees it's Naomi. Cullen steps inside the store and cocks his gun, pointed squarely at Sidney's head. Sidney puts his guns down, and Heckard steps inside and arrests him.
Hatch brings The Swede to Brigham Young. The Swede weeps and kneels before Young, who asks how The Swede answers the charges against him. The Swede becomes increasingly emotional, talking about his pilgrimage and offering Cullen's "miracle" confession as proof of the "divine providence of God." Young is not convinced, and he calls the The Swede "a ravening wolf" whose crime deserves "punishment of equal weight and measure." However, Young notes that the spur line, which he deems "essential to the Saints' journey West to the Promised Land," has doubled its progress since The Swede took over. When Young asks if The Swede worked on Cullen's railroad, The Swede admits he worked under Durant, who he hated "with the fire of a thousand suns." Young smiles and says, "Perhaps Heavenly Father has a use for you yet."
Cullen gently removes shards of glass from the general store's windows from Naomi's neck. She frets about William's safety.
Cullen visits Sidney in jail. "I wasn't gonna shoot her and you know it," Sidney says. "Same as you wasn't gonna shoot me," Cullen responds. "I'll be glad to watch you hang."
That night, Durant is awakened by Heckard entering his train car. Heckard accuses Durant of killing Jessup, confessing that he was in love with him. He then whacks Durant across the face with a cane, tosses Durant to the floor, and brutally kicks him and beats him with the cane.