The novel alternates between two narrators: Penny Marcus, a third-grade teacher in a small California mountain town, and her childhood pony, who tells his story in a wry, bitter first person. Their parallel journeys, separated by decades and thousands of miles, converge around a single question: Who killed Frank Ross, the man whose death has haunted Penny since childhood?
Penny's life shatters when Ed, the local sheriff's deputy, arrests her for a murder allegedly committed twenty-five years earlier, when she was twelve. She is extradited to New York, denied bail, and locked in Sticks River Correctional Facility for Women on the murder wing, confined to her cell twenty-three hours a day. Her legal team consists of Steve, an overworked public defender, and Lisa, an earnest young intern awaiting her bar exam results who becomes Penny's primary advocate.
The Pony introduces himself as a creature consumed by resentment. Since Penny's disappearance, he has been passed from owner to owner: a circus, a birthday party "unicorn" business, a college student's emotional support animal. He blames Penny for abandoning him and setting this cycle in motion. After bucking off a child at a horse show and ruining his reputation, he vows to find Penny and confront her.
In jail, Penny tells Lisa about her childhood near Ithaca, New York. She took riding lessons at a stable run by Silla, a formidable instructor who made every student swear never to hurt a horse. Penny's parents bought her the Pony on Christmas Eve, and the two became inseparable. One day, Penny rode out with Alex, a boy from the rival stable, High Rise Farms. While they explored an abandoned house in the forest, the Pony untied himself and Alex's mare, Arete, as a prank; Arete convinced him to run off, warning Penny would outgrow him. When Penny found the horses gone, she walked to High Rise with Alex and witnessed Alex's uncle, Frank Ross, beating Arete with a whip. Penny intervened, and Frank slashed her across the face. She leapt onto Arete and fled into the forest with Frank pursuing on an all-terrain vehicle. Penny fell and hit her head. Frank was found dead nearby, killed by a blow from a rock.
The Pony recounts his version of events to Caya, a gentle hound dog, and Circe, a sharp-tongued goat, his companions in the backyard of an elderly man's home. Caya delivers a devastating observation: The Pony abandoned Penny in the woods, not the other way around. His decades of rage collapse into guilt. He unlatches the backyard gate and sets off to find Penny, now driven by love rather than revenge.
His cross-country odyssey takes him through improbable situations. He serves as an emotional support companion for a grief-stricken Thoroughbred racehorse, then slips away at Saratoga to continue toward Ithaca. He returns to the abandoned house, where his powerful sense of smell detects overlapping scents of Penny, blood, and death. At High Rise Farms, an old mare tells him only Arete knows what truly happened that night.
Back in jail, Lisa reveals the source of the murder charge: Dr. Resa, Penny's therapist, told police that Penny confessed to killing Frank. A recorded Zoom session shows Penny in a semihypnotic state induced by Dr. Resa's breath work, speaking in a childlike voice and appearing to confess. Penny has no memory of these words and insists the confession was coerced. Lisa presses her to consider a plea deal.
The Pony's journey continues through a pony-flipping operation, the Pony National Championships in Chicago, and a slaughter-bound truck from which animal rights activists free him. He lives briefly among wild ponies on a barrier island before being placed at a roadside petting zoo. There, Penny and her husband, Laus, stop while driving their daughter Tella, who has a severe anxiety disorder, to Arcadia, a therapeutic boarding school. The Pony recognizes Penny, but she does not recognize him. She drives away, and he leaps the fence and gallops after the car, only to be hit by a truck.
Before her arrest, Penny had returned to Ithaca to search for her pony. At High Rise, Alex accused her of murder, and his mother, Melanie Kinsworth, who is Frank's sister, screamed at her. But in the forest, sitting on a rock overcome by grief, Penny saw the Pony emerge from the bushes. They recognized each other after twenty-five years. Silla agreed to keep the Pony until Penny could make a plan, and Penny returned to California feeling whole again, only to be arrested days later.
At Silla's stable, the Pony witnesses pivotal events. Abra, a young groom from High Rise, reveals that Alex uses illegal electrified spurs hidden in his boots to shock horses into jumping higher; Silla gives Abra Penny's address to mail the evidence. Shortly afterward, Melanie arrives and shoves Silla into a long-dormant electric fence she has switched on, killing her. As Silla dies, the Pony senses her final command: "Protect Penny" (288).
The Pony races to California, intercepts Melanie stealing Abra's package from Penny's doorstep, and carries it cross-country to Tella at Arcadia. Tella possesses a rare and fading ability to understand animal speech. She opens the package and finds riding boots, wires, and a note from Abra expressing fear for her life. Tella steals a car and drives toward Ithaca. The Pony, recaptured and sent to a livestock auction, finally finds Arete. The old, emaciated mare reveals the truth: She killed Frank by kicking a rock at his head as he was about to strike Penny. Penny had witnessed this but suppressed the memory for years, knowing a horse that kills a person would be destroyed.
The Pony escapes and, joined by Circe, makes a months-long journey on foot back to Ithaca. Caya tracks them across the country, arriving in time to fight off a pack of coyotes, but all three are captured by Animal Control. On Christmas Eve, Tella pulls the fire alarm at the facility and frees them. She leads the animals to the abandoned house in the forest, where Melanie appears with a gun, threatening to kill Tella to protect Alex's career. The Pony charges as Melanie fires; the bullet grazes his hindquarters, and Caya and Circe subdue Melanie until police arrive.
At Penny's trial, Lisa arranges for the jury to visit the crime scene. The Pony emerges from the forest, positions himself where Arete stood, and kicks the evidence rock so forcefully it nearly strikes a juror, demonstrating that a horse could have delivered the fatal blow. On Christmas Eve, the jury returns a verdict of not guilty. Penny walks free into falling snow. On the courthouse steps, Tella and Laus appear. Laus reveals that Silla left everything to Penny: the house, barn, and property. Melanie has been arrested for Abra's murder, and the evidence of Alex's abuse has been sent to the International Federation for Equestrian Sports.
In Silla's barn, Penny finds the Pony lying dramatically in his stall, convinced he is dying from the bullet wound. Penny, Tella, Caya, and Circe inform him it is only a flesh wound. He leaps up, devours his uneaten carrots, and reflects that he is the luckiest pony in the world. Penny scratches his withers, Tella rubs his ears, and the family, human and animal alike, begins its new life together.