Pee-Wee Herman wakes from a dream in which he and his prized bicycle have won the Tour de France. After having breakfast, Pee-Wee decides to ride his bike down to the local shopping center. However, he doesn't get far before he meets up with Francis Buxton, a local and spoiled overgrown rich kid who wants to buy Pee-Wee's bike as a birthday gift for himself. Pee-Wee rebukes this offer and ridicules Francis, before cycling off, with Francis shouting after him that 'he'll be sorry.'
Pee-Wee arrives and the shopping center, where he chains his bike to a clown statue, before shopping at the local bicycle shop to procure a new horn. While there, an employee and friend of Pee-Wee's named Dottie, attempts to ask Pee-Wee on a date, to which he refuses. Pee-Wee then goes to a nearby magic shop, before returning to his bike... only to find the chains destroyed and his bike gone!!!
Pee-Wee goes to the police, but they are unable to help him. When asked if anyone might have really wanted his bike, Pee-Wee surmises that Francis Buxton must have taken it. Pee-Wee sneaks into the Buxton's mansion, and forces Francis to confess. However, Francis' father explains that Francis couldn't have stolen the bike, since Francis and his father have been at the mansion setting up his birthday train set all morning.
Pee-Wee is still determined to find his bike, and begins to post up fliers and goes on the radio to alert people about his bike. Unknown to Pee-Wee, Francis did have a hand in the theft of his bike, as he had hired a guy to steal the bike for him. However, with Pee-Wee not giving up the search, Francis pays the hired guy extra to get rid of the bicycle.
Down on his luck, Pee-Wee wonders the rainy streets of town and visits a phony psychic, who convinces Pee-Wee that his bike is in the basement of The Alamo. Pee-Wee then sets out on his epic journey to get there.
His first encounter is with an escaped criminal named Mickey, who was arrested for tearing the tag off a mattress. Even with his criminal background, Pee-Wee still takes a shine to Mickey, and helps him get past a police roadblock. That evening, while driving the stolen car they are in, Pee-Wee almost gets them killed when he tries to swerve around a series of turns in the road. It is shortly after this that Mickey orders Pee-Wee out of the car, before driving off into the dark night.
Pee-Wee next hitches a ride from a rather strange trucker named Large Marge. After dropping him off at a truck stop restaurant, and telling Pee-Wee to say "Large Marge sent you," Pee-Wee is further shocked to find that Large Marge was killed ten years to the day... and that he was riding with her ghost.
After the ordeal, Pee-Wee attempts to have a meal, but finds that his wallet is gone. After washing and drying dishes in the kitchen to pay for his meal, a waitress named Simone asks him to watch the sunrise with her. They enter into a giant Tyrannosaurus Rex statue nearby, and while watching the sunrise, Simone and Pee-Wee discuss their dreams. Simone's dream is to one day go to Paris, but she feels her boyfriend Andy won't let her. Pee-Wee encourages her to follow her dreams. However, as they exit the statue, the hulking Andy is waiting to clobber Pee-Wee, thinking 'the worst' has happened.
Pee-Wee escapes on a nearby freight train, where he runs into a hobo, who then proceeds to sing all manner of songs until Pee-Wee finally jumps from the train... which just happened to have arrived in San Antonio, Texas.
Pee-Wee quickly seeks out the Alamo, only to find that it doesn't have a basement! Dejected and back to square one, Pee-Wee attempts to take a bus home, when he runs into Simone, who explains that she left Andy, and is planning to go to Paris and follow her dreams. Shortly after she leaves, her jealous boyfriend Andy appears, and on seeing Pee-Wee, gives chase.
The chase leads them to a rodeo, where Pee-Wee rides a bull, which later chases off Andy. However, Pee-Wee suffers a slight concussion, and lapses into a temporary state of amnesia.
Wondering the road lonely and lost, Pee-Wee next visits a biker bar to make call for a taxi where the rough motorcyclists notice him throw him out, where he accidentally knocks over all their bikes. The bikers are intent on killing Pee-Wee, but give into his 'last request,' and watch as he dances to the song "Tequila." Having won them over, the bikers then give Pee-wee one of their motorcycles, and send him on his way. Unfortunately, Pee-Wee's first time on a motorcycle proves disastrous, and he crashes shortly thereafter.
After being rushed to the hospital, Pee-Wee wakes to see a television program, showing his bike had been donated to a child actor on the Warner Brothers studio lot. Immediately regaining his memory, Pee-Wee immediately heads there, where he sneaks onto the lot, and gets his bike back.
After leading the studio's security on a wild chase through various soundstages, Pee-Wee manages to escape, but not before finding a burning pet store nearby. Pee-Wee manages to rescue almost all the animals, but in the wake of his heroism, is arrested by the police for his transgressions on the studio lot.
However, after hearing his side of the story and events, one of the studio's executives sees the potential for a movie based on Pee-Wee's 'big adventure.' Pee-Wee agrees, only to have the film made into an action film, of which Pee-Wee himself is relegated to a cameo as a hotel bellhop with a dubbed-over voice. Even so, Pee-Wee is thrilled, and invites all his friends and people he met on his trip to view the picture at the local drive-in.
Francis even shows up, persuading a group of the press of what "good friends" he and Pee-Wee are. Francis even attempts to sit on Pee-Wee's bike for a photo-op, but ends up being pitched skyward due to it's ejector seat.
After this, Pee-Wee and Dottie leave the drive-in, with Pee-Wee admitting he doesn't need to see the whole film, since he already lived it.