In late 1880s New York, insurance agent Milford Farnsworth is fired from the Plymouth Rock Insurance Company by his boss, Titus Queasley, for his failure to sell even a single policy over several months.  Undaunted, Milford goes to a nearby saloon, where he attempts to sell life insurance to the bartender.  Milford’s pitch is overheard by notorious train robber Jesse James, who asks to buy a $100,000 policy naming his fiancée, saloon singer Cora Lee Collins of Angels Rest, Missouri, as his beneficiary.

Delighted when Jesse pays his premium in full, Milford returns to Queasley, who is stunned by the sale.  When Queasley realizes the identity of Milford’s customer, however, he gives the hapless agent an ultimatum: either follow Jesse to Missouri in order to buy back the policy or become the robber’s permanent bodyguard.

That evening, Milford’s train is held up by Jesse and his gang and they steal the refund money from Milford.  Upon arriving in Angels Rest, Milford wires Queasley to send more money, unaware that the telegraph operator shows Jesse all wires.  Spotting a poster advertising Cora Lee’s act at the saloon, Milford looks for her there, but is sidetracked by members of Jesse’s gang, who have been warned by the telegraph operator of the insurance agent’s identity.  Forced to strip down to his underwear while playing poker with the gang, Milford flees unharmed and takes refuge unknowingly in Cora Lee’s room.

Discovered by the sheriff, Milford is escorted back to the station and placed on the next train.  Meanwhile, Jesse decides to make sure that Milford remains in town until he receives the money from Queasley, so, with his brother Frank, holds up the train to bring Milford back to Angels Rest.  Milford is touched by Jesse’s invitation to stay with him at his ranch and join in the celebration of his wedding to Cora Lee the next day.  At an evening party at the ranch, Cora Lee is taken by Milford’s guilelessness and is awed when he saves her from a Gila monster.

After the party, Milford is dismayed to learn from Jesse’s mother Ma that Jesse has scheduled a gunfight for the following morning.  Determined to protect Jesse, Milford decides to steal the cowboy’s clothes and impersonate him.  At dawn, Milford rides into town where he confronts Jesse’s adversary, Snake.  Having previously wired his pistols to his hat, Milford pretends to surrender, but upon raising his hands, lifts his hat, firing the guns and wounding Snake.  Upon discovering Milford’s identity, the townspeople and Cora Lee are impressed by his bravery and gunslinging talents.

Milford then visits Cora Lee in her hotel room and confesses why he must protect Jesse.  Amazed to learn that she is Jesse’s insurance beneficiary, Cora Lee reveals that she has never returned Jesse’s affections and admits her attraction to Milford.  When Jesse rides into town in search of Milford, the telegraph operator gives him a wire from Queasley to Milford.  Outraged that Milford has lost the premium pay-back money, Queasley fires Milford again and announces that he is bringing the money personally.  Upon seeing Milford dressed in his clothes, Jesse realizes that he should allow Milford to continue impersonating him and then arrange for his death so that Cora Lee and he can collect the insurance.

After Jesse convinces Milford to continue impersonating him to insure his safety, Milford joins the gang that night for a train robbery in which Queasley is robbed of the pay-back money.  Jesse and Frank attempt to shoot Milford during the train escape, but he is unhurt.  During the ride back to the ranch, however, the James brothers shoot Milford in the back and are relieved when he falls from his horse in the forest.  Cora Lee is heartsick over Milford’s apparent death when Jesse returns and confesses his plan for collecting the insurance money.  Both are amazed, however, when a short time later, Milford rides in on a cow, having wisely worn a metal vest as protection during the train robbery.

Arriving at Angels Rest, Queasley immediately becomes suspicious of the telegraph operator and asks the conductor to send a wire from the next town asking all law officers to come to Angels Rest to capture the James gang.  The next morning, Jesse asks Milford to go into town, then sends two gang members after him.  Having overheard Jesse’s orders, Cora Lee then sends her friend, Indian princess Awani, to warn Milford.  Awani saves Milford from the ambush and acknowledges that Cora Lee sent her because she loves him.  When Awani reminds Milford that Jesse intends to marry Cora Lee later that day, Milford vows to intervene.  On their journey back, Milford and Awani run into the justice of the peace headed to the wedding and Milford overpowers the man and takes his clothes.  Wearing a beard made from a horse’s tail, Milford is not recognized when he arrives at the James’ ranch posing as the justice of the peace.  After asking the men to remove their guns, Milford proposes a toast using punch in which he has put hallucinatory mushrooms and the men fall into a daze.  Milford’s beard falls off, however, and the men recognize him as he flees with Cora Lee.  Ma rouses the men with strong coffee and they chase Milford and Cora Lee into town where Milford determines to make a stand.

Unknown to him, the town is filled with lawmen who have come in answer to Queasley’s wire.  Queasley shows up just as the James gang confronts Milford and Cora Lee in the middle of town.  Queasley faints from fear, but Milford valiantly shoots it out, unaware that the lawmen are protecting him.  When the gang is decimated, Jesse and Frank surrender to the local sheriff and Milford is proclaimed a hero.

Years later, Milford has risen to the presidency of Plymouth Rock Insurance Company and he and Cora Lee are the happy parents of half a dozen children.