Jesse is called out to a crime scene where a girl's body has been found in a lake. She had been weighted down by a cinderblock before she floated to the surface, and since the body has been in the water for weeks, she will be hard to identify. A further examination reveals she was pregnant.
At the station, Jerry Snyder has been brought in by D'Angelo for assaulting his wife. Mrs. Snyder will not press charges. Jesse throws Snyder in jail since he is drunk, and asks Molly to talk to Mrs. Snyder.
Jesse and Suitcase canvas the crime scene and find a class ring from a prestigious private school, along with a girl's bracelet. Jesse hypothesizes that the killer dragged the girl down to the lake, and the jewelry was lost on the way.
Tracking the ring, Jesse visits the school and talks with the headmistress, Lily Summers. A relationship develops between the two. She identifies the ring as belonging to Hooker Royce, the school's star athlete. Jesse and Suitcase question Hooker, who says he gave his ring to Billie Bishop, a 14 year old girl he had been dating. When Jesse visits the Bishop home, he learns she had been gone for several weeks and her parents had not reported her missing.
Tracking down the shelter in Boston where Billie stayed for a few weeks, Jesse learns she gave a contact number which turns out to be the publishing company of author and Paradise celebrity Norman Shaw. Jesse finds an autographed copy of one of Shaw's books in Billie's room.
Jesse visits a fund-raiser at Shaw's home. Shaw is a community leader, yachtsman and philantrophist who holds a benefit for less fortunate children every year. Jesse sees a number of children in attendance, and learns that the Bishops had attended every year until Billie disappeared. Captain Healy recognizes one of the guests as Leo Finn, a Boston mobster who is a business associate of Shaw's. A conversation with Finn and his gunsel, Lovey Norris, is fruitless, and Jesse has no concrete evidence to connect Shaw to the murder.
Meanwhile, Jesse has been seeing Dr. Dix, an ex-cop turned psychiatrist, to help him with his drinking and his relationship with his ex-wife. As Jesse continues to see Lily Summers, the desire to close the case grows stronger and stronger. He has dreams where he sees Billie under the water trying to speak.
As Jesse questions the Bishops about any contact Billie may have had with Shaw, Suitcase interrupts him. Jerry Snyder has shot someone and taken his wife hostage at the supermarket. Suitcase and Jesse go in, and Jesse finds Snyder. He orders him to put his gun down. Snyder gets off a shot when he sees something moving behind an aisle, which gives Jesse the chance to shoot him. Snyder falls dead, but Jesse soon realizes that Snyder's bullet hit Suitcase.
Suitcase is in the hospital, and falls into a coma as a result of his head wound. Jesse and D'Angelo visit Shaw's home and find cinderblocks and the kind of rope used to anchor Billie underwater. Shaw tells Jesse that he has an alibi for the time of Billie's murder; he was meeting with Finn. He says his new book is "kind of an expose" about Finn and the two had a lengthy conversation about the book. Leo Finn tells Jesse that Lovey saw Norman Shaw enter a motel with Billie, and that Shaw is a child molester whom Finn will not provide a false alibi for. The Paradise D.A. comes to see Jesse. They can prove Shaw was the father of Billie's baby, but cannot connect him to the murder.
Jesse reexamines the knots used to tie the rope around the cinderblock, and he realizes a yachtsman like Shaw would know the correct knot to tie. He arranges a meeting with Finn, and tells Finn that he knows Shaw was about to write an expose about Finn's mob activities. Finn and Norris had Billie killed to frame Shaw. At that moment, Norris draws his gun, but Jesse uses Finn as a shield to catch the bullet. Jesse shoots Norris and kills him.
Jesse pays a visit to Billie's grave to assure her that they caught her killer. He then heads to the hospital and begins to read aloud to the still-comatose Suitcase.