Brad Pitt has been working for a mobster who is in prison because Pitt accidentally ran a red light and hit the mobster's car. When the police arrived, they found a body in the mobster's trunk. The guy was alive but was obviously going to be murdered. The mobster was sentenced to 5 years in prison. Pitt has been forced to work for the mobster to pay for having caused him to go to prison.
Julia Roberts is Pitt's girlfriend and they have been having difficulties with their relationship. Roberts now wants to go to Vegas but Pitt has to make one last trip for the mobster or he will be killed. Roberts throws Pitt out and heads to Vegas alone and Pitt heads to Mexico on his last mission.
Pitt has been given orders by the 2nd in command (Bob Balaban) to pick up a gun called "The Mexican" and bring it back. Pitt gets to Mexico and picks up the gun but unfortunately, the man he gets it from is accidentally killed by a stray bullet fired during a Mexican celebration.
Pitt calls Balaban and reports the problem and while he's on the phone, his car is stolen, gun and all. Pitt sets out after the car to try and retrieve the gun.
Meanwhile, on the way to Vegas Roberts is in a restroom when a gunman grabs her and before anything happens, James Gandolfini saves her by shooting the man. Gandolfini claims that he is working for the mobster and that his name is Leroy. He is a very sensitive, gay psychotic killer who is there to protect Roberts.
They get to Vegas and along the way Gandolfini picks up a gay postal worker who spends a romantic evening with Gandolfini. In the morning roberts and Gandolfini go out for breakfast and while they're eating, the gunman goes to their hotel room and kills the postal worker by throwing him off the balcony. roberts and Gandolfini get back and this time Gandolfini shoots the man in the head to kill him for good.
Roberts and Gandolfini are told by Balaban to head to Mexico and meet Pitt because things have gone wrong.
In Mexico, Pitt has recovered the gun and then lost it a second time. A man from the mob has come down to help him. Pitt knows the man had been sent to kill him so he tricks the man, gets the gun and drives to the airport to leave Mexico. Unfortunately, Pitt has the wrong passport and can't get on his flight. He goes back to the small town where he left the man handcuffed, but he's gone.
Gandolfini and roberts meet up with Pitt and for some reason, Pitt does not tell him he has the gun but will take him to where it's hidden. Pitt has an argument with Roberts and nearly wrecks the car causing a blowout. While pitt is changing the tire, Gandolfini pulls a gun on him. Roberts is furious with Pitt and has been walking away. Pitt hasn't seen Gandolfini's gun yet but Gandolfini sees Roberts walking away and puts his gun away. He knows that Roberts loves Pitt and he just can't kill him.
Gandolfini helps Pitt change the tire and now Pitt pulls a gun on Gandolfini. Gandolfini sees the gun in the reflection on the hubcap and turns to fire but Pitt shoots first and kills Gandolfini.
It seems that Pitt had once met Leroy and knew that Gandolfini was not who he claimed to be. He realized that he was there to kill him. Roberts is extremely upset but Pitt and her stay together trying to decide what to do now.
In their hotel room, Pitt looks out the window and see someone trying to break into his car. the same person that stole it the first time. He goes down to stop him and is punched in the face (twice) and knocked out.
He is driven to a very nice ranch house and there he meets the mob boss who has been let out of prison - Gene Hackman.
In prison Hackman was befriended by the grandson of the ranchowner. the son was killed saving the life of Hackman in prison. The ranch owner is the grandson of the man who made "The Mexican."
We are ow told the true legend of The mexican. It was made by a gunsmith as a gift to a rich noble so the nobleman's son would marry his daughter. Unfortunately, the daughter was in love with the gunsmith's assistant. On the wedding day the nobleman's son is presented with the gun and it fails to work. He notices his future bride and the assistant staring at each other. He realizes they are in love and shoots and kills the assistant. The girl picks up the gun, puts it to her head and shoots herself. The gun contained two bullets, one of which has now been used.
Hackman has been trying to get the gun to give it back to the rightful owner, the great grandson. Balaban has been trying to get it to sell for profit.
Roberts is back in the hotel room and has the gun tied to her leg when Balaban appears on the balcony. Roberts hides between 2 mattresses.
We next see Pitt and some mexican employees of the ranchowner driving into town. Balaban is standing beside his car and asks Pitt where the gun is. Pitt says only Roberts knows and Balaban opens the trunk to reveal Roberts. unfortunately for Balaban, when he opens the trunk, Roberts has the gun pointed right at him. She shoots the 2nd and last bullet, hitting him in the throat. We hardly know he's been shot until he opens his mouth and smoke comes out.
The ranchhands take the gun back to the ranch and a brass ring that had fallen off the gun is picked up by Pitt. He uses it as a wedding band and places it on Roberts finger.
The final scene shows the two of them driving off - arguing...