The story opens in Saffron Park, an artistic suburb of London, where a poet named Lucian Gregory defends anarchism and nihilism. His views are challenged by Gabriel Syme, a mild-mannered poet who paradoxically champions law, order, and respectability. Driven by curiosity, Gregory leads Syme to a secret underground meeting of the Central Anarchist Council, where a vacancy for the post of Thursday is to be filled. Syme manages to secure the election by out-manoeuvering the genuine radicals with sheer audacity, discovering in the process that he is not the only secret agent present. In fact, most of the council members turn out to be undercover detectives.
Syme learns that Gregory was tricked into his own movement by a mysterious, elusive mastermind known only as Sunday, the President of the council. As the detectives set out to track down the anarchists and prevent a planned assassination in Paris, they find themselves locked in an increasingly absurd and terrifying pursuit across Europe. Each council member they encounter seems to embody a distinct philosophical nightmare, from paralytic despair to unmitigated materialism, making the pursuit resemble a feverish psychological ordeal rather than a standard police investigation.
The chase culminates in France, where a farcical duel with the Marquis de St. Eustache reveals that even the apparent terrorists are actually fellow officers working in the dark. The realization slowly dawns on the bewildered detectives that Sunday has manipulated them all into an elaborate game of mutual surveillance, isolating them on a Supreme Council that governs nothing while he controls the machinery of the world.
The climax brings the detectives to a magnificent English estate where a masked carnival is held under the stars. Confronted by Sunday and the embittered real anarchist Gregory, the protagonists demand an explanation for the cosmic farce and the agony they endured. Sunday reveals himself as the embodiment of both the terror and the beauty of creation, leaving them with the staggering realization that the guardians of order must share in the profoundest agonies of existence to truly understand the world they defend.
