Near the end of the day, Elesin, the king's horseman, dances through the market. He's eager to reach the market and assures his praise-singer that he just wants to be in the market among the women, where he's happy. The praise-singer makes sure that Elesin still plans to die later. Elesin assures him that he's happy to die, but now, he wants the women to dress him in fine clothes and enjoy life. To show the praise-singer how serious he is about dying, Elesin dances and chants the story of the Not-I bird. The Not-I bird goes around to all people, animals, and gods, telling them it's time to die. All the beings tell the bird they're not ready and hide away, but Elesin says that when the bird came for him, he told it he'd be right along. As Elesin tells this story, the women of the market, including Iyaloja, surround him and dance with him. He and the women perform a call and response chant in which he assures them that he's going to die.
Elesin, the women, and the praise-singer discuss how honorable Elesin is, but Elesin takes offense when the women praise him. They're not sure what they said wrong, but Elesin finally admits that he just wants them to dress him in fine clothes. Elesin catches sight of something in the distance, and the distraction, a beautiful young woman, walks into the market. The praise-singer thinks that Elesin is going crazy when he begins to talk about possibly being dead already. They discuss Elesin's reputation as a ladies' man, and Elesin asks about who the woman was. Iyaloja hesitantly explains that the woman is already engaged. This annoys Elesin, but he persists and says that since it's his last day on earth, he should be allowed to marry her, conceive a child with her, and leave this as a parting gift. Though Iyaloja tries to convince Elesin that this is a bad idea, she finally gives in.
Later that evening, at the district officer's house, Simon Pilkings and his wife, Jane, tango through their living room. They're dressed in egungun costumes. The local sergeant, Amusa, arrives with news, but is distraught when he sees the egungun. He refuses to look at Pilkings or tell him anything, which makes Pilkings very angry—especially since Amusa is a Muslim and, in Pilkings's understanding, shouldn't be upset about this. Finally, Pilkings tells Amusa to just write down his report.
Amusa's report is disturbing: Elesin plans to "commit death," which Amusa says is a criminal offense. Pilkings and Jane believe Elesin is going to murder someone, and Jane suggests they skip the costume ball later to deal with this disturbance. Pilkings decides to just arrest Elesin. They call for their houseboy, Joseph, who explains that Elesin is going to kill himself so he can accompany the king, who died a month ago, to the afterlife. Pilkings sighs. He has history with Elesin: he snuck Elesin's oldest son, Olunde, out and sent him to England to train as a doctor four years ago, despite Elesin insisting that Olunde needed to stay for some ritual. They reason that this is the ritual, and Jane realizes that Olunde would be the next king’s horseman. Joseph excuses himself when Pilkings calls the natives "devious bastards." Pilkings calls Joseph back to explain what the drumming is about, and is angry when Joseph says he can't tell; it sounds both like a wedding and a death. Joseph leaves again and Jane declares that they need to stay home and deal with this. Pilkings sends Joseph to the police station with a note, tells Jane to put her costume back on, and shares that the prince is going to be at the ball, so they have to go.
Back in the market, Amusa and his constables try to get through a group of women to enter a stall that’s draped in rich cloth. The women insult Amusa for working for the English, mock his virility, and accuse him of trespassing. They refuse to let him any closer to Elesin and say that Elesin will prove himself more powerful than the white men by killing himself. Iyaloja arrives to mediate the situation, but joins the women in insulting Amusa. Several young girls take matters into their own hands. They steal the officers' batons and hats, and then act out a scene in which they're Englishmen discussing the lying natives and the horrendous weather. This insults and embarrasses Amusa, but Iyaloja refuses to come to his defense. Finally, Amusa and his constables leave. The women dance and celebrate the girls as Elesin steps out of the stall. He has just had sex with his new wife, and says that the future lies with his child that the bride will bear. Elesin begins to listen to the drums, narrate what's happening, and dance toward death. The women dance with him as he says that the king's dog and horse are dying, and then the praise-singer reminds Elesin of what he must do. Elesin sinks deeper and deeper into the trance and the praise-singer tells Elesin that if those on the other side don't honor him properly, they'll welcome him back.
At the ball, the band plays music to introduce the prince. The prince is taken with the egungun costumes, but the resident soon pulls Pilkings outside to explain a note that arrived from Amusa about Elesin's suicide. The resident reminds Pilkings that he needs to be vigilant in order to support the empire, and when Amusa arrives, the resident asks if Amusa is part of the riot. Pilkings tries to get Amusa to give him his report, but Amusa again refuses to speak to him in the egungun costume. Pilkings dismisses Amusa as the clock strikes midnight. He and Jane wonder if this is the moment that Elesin will kill himself, and Pilkings runs away.
Olunde, who has returned from England, finds Jane outside and asks for Pilkings. They discuss her costume and though Olunde will look at her, he says she's still doing a disrespectful thing by wearing the egungun. He explains that she doesn't understand why it's wrong because she's English. They discuss World War II, which is currently going on, and the ethics of killing oneself to save many others. Jane refuses to direct Olunde to Pilkings, and is shocked when Olunde says that he's here to bury Elesin and stop Pilkings from trying to stop Elesin from dying. He tries to make it clear that Elesin needs to die and is doing an honorable thing, but Jane won't have it. She becomes increasingly upset as Olunde points out that thousands of Englishmen are dying in the war—something he suggests is mass suicide. Olunde leads Jane outside to listen to the drums and notes the moment in which Elesin dies. Jane is disturbed by Olunde's calm and attracts the attention of the aide-de-camp, but she sends him away. Olunde tries to explain why he was so calm, but also attempts to excuse himself to go sit with his father's body.
From offstage, Olunde and Jane hear Pilkings telling someone to restrain people. Pilkings steps into sight and is shocked when Olunde says that it would've been a tragedy had Pilkings succeeded in stopping Elesin. Pilkings refuses to let Olunde go see his father and then speaks with the aide-de-camp. He wants to know if he can put Elesin in the cellar where they used to keep slaves. As Pilkings marches away, Olunde and Jane wonder what's causing so much commotion. Their question is answered when they hear Elesin, yelling angrily. Elesin races into view but stops when he sees Olunde. He falls at Olunde's feet, and Olunde insults his father and walks away.
In his cell, Elesin stands, his wrists chained, and looks at the moon. There are two guards in the cell with him, and his bride sits demurely outside. Pilkings tries to talk about how calm and peaceful the night is, but Elesin insists that the night isn't calm by any means: Pilkings has destroyed Elesin's life and the lives of others. They argue about whether Pilkings was just doing his duty or not. Elesin explains that he's not at risk of dying anymore, as he was supposed to die at a specific moment a while ago. He says that he doesn't blame Pilkings, even though he's ruined his life by stealing Olunde and stopping Elesin from doing what he needs to do. Pilkings tries to comfort Elesin by saying that not everything is as bad as it seems; Olunde thinks that this is salvageable. Elesin disagrees, but thinks that he no longer has any honor and cannot even call himself Olunde's father.
Pilkings leaves, and Elesin tells his bride that he blames her in part for his failure, as she showed him that there are things on earth that he still wants to enjoy, and he didn't want to die. Pilkings and Jane return and argue if Olunde and Iyaloja should be allowed to visit Elesin. Elesin assures Pilkings that nothing worse than what's already happened will come of Iyaloja visiting. Pilkings shows Iyaloja in and she immediately begins to berate Elesin. She says that he's dishonored himself and the world, and reminds him that she warned him this would happen. He tries to explain why he faltered, but she's unsympathetic. Iyaloja says that she's coming with a burden. Pilkings tries to show Iyaloja out, but she refuses to leave and says that Elesin must perform certain things. Their king will be upset in the afterlife, and he needs to let their king go.
The aide-de-camp races in to say that there are women at the bottom of the hill. Since it's just women, the aide-de-camp agrees to let them into the cellar. They enter, carrying a cylindrical object on their shoulders that's covered in cloth. Iyaloja says that it's the burden and the king's courier, and Elesin needs to whisper in the courier's ear so he can release the king. Pilkings refuses to let Elesin out. The praise-singer reminds Elesin of what his duty was and says that someone else took Elesin's place. The women reveal that the cloth covers Olunde's body, and the praise-singer continues to tell Elesin how he has ruined things.
Horrified, Elesin flings his chains around his neck and strangles himself. Pilkings tries to resuscitate him, but Iyaloja tells him to stop. When he asks if this is what she wanted, Iyaloja answers that this is what Pilkings gets when he doesn't respect the customs of others surrounding death. The bride closes Elesin's eyes and pours a bit of dirt over them, and Iyaloja leads her away. Iyaloja encourages the bride to think of her unborn child.