Unable to connect with anything around him, magazine journalist and aspiring novelist Anthony Dunne suffers a mental breakdown and leaves everything behind, and runs into the Californian highways. Dunne, a delusional dreamer obsessed with Spaghetti Westerns and French New Wave films, hopes to find an adventure that allows him to become both the writer and the man he aspires to be (if he can be anything like Clint Eastwood or Jean-Paul Belmondo, all the best!).
However, after a few days wondering around the highways and finding more existential questions than answers, Dunne begins to think that it might be time to give up and go back home when, out of a sudden, he meets a mysterious, charming girl that goes by the name of Arizona Colt. Colt, an alleged illusionist, travels across the country alongside her father, Johnny Dixie, and when they ask Dunne to give them a ride to their next gig, Dunne accepts, doubting their intentions, but feeling intrigued enough to do anything to get to know Colt a little better.
As it turns out, Colt and Dixie aren't illusionists but con artists on the run, and they are being hunted down by a dangerous bounty hunter called Stonewall. Unaware of this, Dunne gives Colt and Dixie a ride to their so-called gig in The Damn Bastard, a highway bar. During their ride, Dunne strikes every attempt to talk with Colt, but, much to his surprise, gets quite along with Dixie.
The trio arrives at The Damn Bastard, where they are welcomed by Dixie's friend, Ira Banks. Banks have got them a pair of new passports so they can run to Mexico under new identities. As Dixie and Banks talk about Dixie's plans for a new life somewhere in Mexico and the fact that Colt is now a grown woman and must leave the nest at some point, Dunne has dinner with Colt. They finally get to know each other a little better as they talk about living on the road, Dunne's perception of life, and Colt herself. As Colt begins to like him, she proposes to him to dance and have sex in his car as long as he leaves after this and never searches for her or her father ever again (fearing that he might want to tag along and get in trouble). A reluctant Dunne accepts, but before they can have sex, Colt sees Stonewall arriving at the bar.
While she had no idea that Stonewall was after them, she knows that his presence then can't be any good and must warn her father. As Dunne finds out that they are con artists running away from a bounty hunter, he is even more intrigued about them and decides to help Colt. Colt initially turns down his help, but as Dunne insists, she agrees to it. They enter the bar and search for Dixie, while Stonewall spots her. As they inform Dixie about Stonewall, Stonewall finds them and as chaos breaks loose, Dixie, Colt, and Dunne manage to escape with Banks' help.
Banks takes them to a small motel to spend the night. Hoping to have some privacy and confuse Stonewall if he shows up, Colt has Dunne acting out as a newlywed couple on the run from their parents and asks the motel clerk not to mention anyone about their presence there. Once they have their room and Dixie makes his way through a window, an angry Colt confronts Dixie on why he didn't tell her that Stonewall was after them as well as the dangers he exposed Dunne to by getting him involved - even though downplays it, actually excited for what is happening. Dixie apologizes to her and promises her never to lie to her again, and agrees to let Dunne go so he doesn't get into any more trouble. Dunne keeps insisting that he wants to help, but Dixie tells him that the subject is way too dangerous for him and that he must go.
Unable to sleep, an unhappy Dunne begins to work out ideas for a book called The Wandering Runaway and the Barefoot Bandit, inspired by his adventure with Colt and hoping to find a way to convince them to join them for the rest of the road. As Dunne discusses his ideas with himself, Colt, also unable to sleep because of the tension and her concerns regarding where her life is heading, hears him and has an honest conversation with Dunne. She explains that she is tired of the crime life, but that she can't leave her father as she fears what might happen to him if she is not around. She tells Dunne that Dixie wasn't always a criminal, but that they ended up in such a life after her mother abandoned them and he didn't quite know how to be a single parent. Dunne expresses his admiration for her and asks her to allow him to take them to Mexico. As Colt asks him why is he so interested in them, Dunne reveals his inability to connect with anything in his life and that he needs to know that there is something more in life besides problems and unhappiness. He tells Colt that he sees in her that possibility, the possibility of a different way of life as well as an unexpected sense of peace when he is around her. Touched by his confession, Colt gives in and agrees to convince Dixie to let Dunne take them to Mexico.
Banks takes Dunne's car to the motel the next morning. While the idea originally was to have Banks take them to Mexico, Colt asks Dixie to let Dunne be the one who gives them to ride. An unsure Dixie agrees and the trio continue their way to Nogales.
They take the less transited road hoping to avoid Stonewall, and Dunne and Colt, now in sync, begin to become closer and act out as a real couple - which only pisses Dixie as he thinks that their romance might jeopardize their escape. Sure enough, that's what happens.
Stonewall ambushes them near the Mexico border. As he is about to take Dixie and Colt with him, Colt offers him $100,000 in exchange for letting them go. She tells him that they don't have the money with them but hidden, but that they can go search for it. Doubting that this might be a trap, Stonewall accepts the deal as long as he can take Colt away with him while Dixie gets the money. They agree on it and Stonewall leaves together with Colt.
Dunne offers his help to search for the money, but Dixie reveals that they don't have such an amount and that the whole idea was, indeed, a trap. Dixie asks for Banks' help and tells Dunne to go as he has done enough damage and this is no place nor life for him. A defeated Dunne is abandoned on the highway by Dixie and Banks, and, convinced that his delusional ideas have created such trouble and got Colt in danger, he decides that he must go back home.
Dunne reproaches himself for being fool enough to believe that there could be such a thing as life without problems where everything works out perfectly, like in the movies but comes to realize that he can't let this be. He can't run away from problems forever, especially not the ones that he has caused, and that his heroes, whether it be Clint Eastwood or Jean-Paul Belmondo, always come back for a climactic fight. So, if he truly wants to be that a rebel an outlaw he must face his problems. He decides to go back and rescue Colt, whatever it takes.
Dixie and Banks come up with a plan to fight Stonewall, who has set a meeting at a highway bar. As Dixie reunites with Stonewall and Colt, Colt asks him about Dunne. Dixie reveals that Dunne has left, which disappoints Colt and as they leave the bar to get Stonewall's money (or, more likely, get ambushed by Banks), Colt smashes a can of soda against Stonewall's face trying to escape, completely unaware of Dixie's own plan.
As chaos breaks loose and a shootout between Stonewall, Dixie, and Banks takes place, Dunne arrives and tries to take Colt with him. He fights Stonewall so Colt can get in the car, and Dixie and Banks help Dunne distract Stonewall. Dunne gets in the car and escapes together with Colt by Dixie's instruction while he and Banks defeat Stonewall and take him away with them just moments before the police arrive.
Amazed by Dunne's return, Colt tells him that she loves him. As Dunne confesses his love for her, they stop by the road and make love. Meanwhile, Dixie and Banks abandon Stonewall tied to a post on the highway, warning him that if he ever gets close to either Dixie or Colt, Dixie will kill him. Dixie contacts Colt and gives her ubication to reunite.
As Dunne and Colt head to Dixie's meeting, she tells Dunne it might be a good idea if he comes along with them to Mexico, to which Dunne agrees. They meet with Dixie and he apologizes to Dunne, acknowledging his courage. Colt mentions Dixie her desire for Dunne to go with them to Mexico, but Dixie refuses and tells Colt that she shouldn't go to Mexico either. Dixie explains that he can't live putting her in such dangerous situations any longer and that she must make her own life. Colt tries to protest, but Dixie convinces her that is the right thing to do. He asks Dunne to take care of her, and they part ways. Banks asks Dixie if he is alright, to which Dixie says that he will be, and the two of them leave for Mexico.
Colt leaves with Dunne, having no idea what they will do, but, at last, finding what the two of them have been searching all along a new life.