Upon the death of her father, Mary Gillespie (Rita Hayworth) carries on his footsteps, taking over the running of his circus. The performers rally behind Mary, agreeing to put debts and back pay owed by the late Colonel Gillespie on hold until the circus comes out of the red. All want to help Mary, except for the show's star, Senor Martinet (Donald Kirke), the daredevil equestrian. The Colonel owed him a debt of $60,000 that he now demands be paid. He knows Mary cannot produce the money and threatens to take over the circus. Everyone in the Gillespie troupe despises Martinet, and they sense trouble ahead.

The next day, Martinet is murdered during his act by a poisoned dart. Each of the circus members is a suspect, particularly Vindecco (Dwight Frye), the stable boy whom Martinet used to abuse. A shadowy figure has been spotted skulking about the encampment. Jimmy Quinn (Charles Quigley), the publicity man and Mary's friend, worries that Mary is being set up by this unknown person to take the fall. He helps the police investigate in order to clear her name.

Vindecco knows more about the murder than he lets on, but is keeping it from the police until he can present further evidence. He reveals to Mary some of what he knows, as well as that Martinet was actually his brother. The Shadow overhears the conversation, feels Vindecco has said too much, and makes him the next murder victim. Jimmy fears that Mary is next.

He builds a case against Mary to have her put in jail, the one place she will be safe. Next he tells all the suspects that he knows who the Shadow is, hoping to draw the murderer out. The plan works. The Shadow attacks Jimmy that night and leaves him for dead. But Jimmy is only wounded -and now can tell the identity of the Shadow.

Mary is released and all the suspects are rounded up. Since the murder it has come out that there was a third Martinet brother and that Martinet had a wife whom he abandoned, possibly because there was another man involved. Is the Shadow one of these people from his past…or someone else? Jimmy soon exposes the answer. Now no one can take the circus from Mary -or keep her from a future at Jimmy's side.

Rita was very good in The Shadow. She shows sincerity and warmth interspersed with frustration and terror as Mary Gillespie, a character given a rough time and a few close calls throughout the proceedings. She looks and sounds quite comfortable in The Shadow, more so than in some of her other early films. She was always improving in these "B" potboilers. After all, that's part of the reason they were produced.