The pilot opens with a man and a woman in a romantic-type situation.
Next, the same man now grizzly and homeless and calling himself Jesus (James Caviezel) beats on some hooligans in a New York City subway. They all get arrested. The cops find out Jesus has several warrants out for his arrest, but instead of keeping him locked up, a mysterious millionaire (Michael Emerson) bails him out.
This rich man, Mr. Finch, calls the homeless man Reese. When they meet alone, he talks to Reese about his past. Turns out before Reese became an alcoholic who thinks he's Jesus, he did top-secret work for the government. Finch is aware that Reese became disillusioned and started drinking himself to death. Finch then proposes he give Reese some more meaningful work. He says they have a way of stopping crimes before they happen and he needs Reese's help. Somehow Finch is able to determine persons of interest in crimes that haven't been committed yet. Reese's job would be to figure out which of the persons of interest needed protection and which is the killer. He wants to start with a woman named Diane Hansen
Reese thinks Finch is crazy and storms out and returns to his hotel room to drink himself to sleep. Finch calls and lures him back by telling him he could help save people in this new role (and references the woman from the opening that Reese couldn't save). He gives Reese a list of social security numbers to get him started on the Diane Hansen case.
Reese begins stalking Diane and determines a district attorney named Wheeler, with whom Diane had a romantic relationship, and Lawrence Pope, a man Diane is prosecuting, are the prime suspects in possible future crimes. When Pope turns up dead, that leaves Wheeler.
In a flashback, we find out that Reese was in the special forces but quit to be with Jessica, the woman he couldn't save. We watch the two of them witness the World Trade Center towers fall on September 11, 2001.
As Reese walks through Central Park with Finch, Finch explains that the information he's giving to Reese is from a database he created for the CIA to stop terrorism. This information is just the non-terrorist intelligence.
Back on the case, Reese finds out that Diane is a corrupt cop in a ring of corrupt cops. He gets caught spying on them and Diane commands one of the cops, Fuscoe, to get rid of him. Fuscoe drives Reese out to some deserted place to kill him, but Reese gets away turns a gun on Fuscoe. Reese agrees to let him go if he agrees to help him out from the inside.
Meanwhile the corrupt cops are heading over to Wheeler's to kill him (and his innocent-bystander son, too!) Reese shows up just in time to shoot bad-cop Stills before he shoots Wheeler and the kid.
He uses a recording he made of Diane telling her ring of bad cops to take care of Wheeler and substitutes it for testimony she plays out loud in court, thus exposing her crimes.
With the first case a success, Reese agrees to continue working with Finch.