Jerry Welbach (BRAD PITT) has had better days. Forced to work as an errand boy for the mob after accidentally causing kingpin Arnold Margolese to be sent to jail, Jerry has just been given an ultimatum by Bernie Nayman (BOB BALABAN). Either he travel to Mexico and retrieve a supposedly cursed pistol named "The Mexican" along its current owner, or be killed for screwing up his last assignment.
He naturally chooses the former, but that doesn't sit well with his high-strung girlfriend, Samantha (JULIA ROBERTS), who's upset that his new job will prevent him from going to Las Vegas with her as he had promised. So, as Jerry heads off to Mexico in search of the pistol and Beck (DAVID KRUMHOLTZ), the young man in possession of it, Samantha packs her stuff and heads for Vegas.
On her way, however, not only does she run into one thug (SHERMAN AUGUSTUS) who tries to abduct her, but also another one, Leroy (JAMES GANDOLFINI), who shoots the first and then kidnaps her as insurance that Jerry won't try to do anything funny with the reportedly valuable pistol. Meanwhile, Jerry arrives in San Miguel and finds both Beck and the pistol, but things go terribly wrong from there as some locals steal both the gun and his rental car.
From that point on, Jerry does what he can - eventually with help from Ted (J.K. SIMMONS), his associate - to locate and retrieve the pistol, all while Samantha begins to dig deep into Leroy's personal life, eventually revealing a sensitive person inside the otherwise seemingly cold-blooded killer.