Jon Ronson meets with Randy Weaver and daughter Rachel, two of the surviving members of the Weaver family. The film shows previously unseen archive footage to describe the life of a family who claim to have moved to a cabin in Ruby Ridge, Idaho, to live peacefully, and escape what they saw as the tyrannical elite of international bankers bent on enslaving the world. Ronson also explains how the Weaver family's conspiracy theories became a shocking tragedy when U.S. Marshals killed two of the family members, their dog, and shot and wounded Randy Weaver and Kevin Harris, whom the Weaver family considered their son. Ronson explores the unsympathetic media response to the killings and how this incident might have influenced the siege at Waco, the Oklahoma City bombing, and the growth of the American militia movement.

Before his involvement in the Oklahoma City bombing, Timothy McVeigh believed that a shadowy elite secretly controlled the governments of the world, conspiring to establish a genocidal New World Order. He believed that the Alfred P. Murrah building was local New World Order headquarters. But many other theorists are convinced that the world only knows part of an apparent complex conspiracy story behind the bombing. Ronson meets a number of theorists whilst investigating the story, and concludes his film in Elohim City, a private Christian Identity movement compound in Oklahoma.