The episode begins in New York, November 1907, in the theatre of renowned magician Charles 'Charlie' Evans, better known as the Magical Mister E (Clive Dobbs). There is a mannequin (Sarah Brodsky) on a platform, the centerpiece of Mister E's magic trick of the evening, The Great Switcheroo. As the audience enters, they are greeted by Mister E's beautiful assistant, Penny (Jessica Savage), as Mister E himself can be spotted nervously peeking from behind the upstage curtain. Penny invites an audience member, Simeon Viernikovac (Fred Backus), to inspect the mannequin. Viernikovac does, then asks the Magical Mister E: "How did you do it?"

Penny and Mister E begin to argue, which results in Penny storming up to the platform, throwing the mannequin to the floor and standing in its place. Mister E looks at her, engages the audience with his showmanship, then removes his cape. Just as he is about to actually perform the Great Switcheroo, we are taken to...

The home of Detective Leslie Caldwell (Matt Gray) in San Francisco, March 1909, where Simeon Viernikovac, who has since recreated himself as, of course, The Amazing Viernik, is pacing the floor, obsessing over the Great Switcheroo. Caldwell enters and tells Viernik more information about their bloodless body, Robert Ford (Aaron Baker), the man Viernik claims appeared during the Great Switcheroo. As a Pinkerton detective, Ford worked infidelity cases and was later assigned as a bodyguard to the daughter of a San Francisco tycoon named Cyrus Pierce (who we met in Episode 2, played by Bryan Enk).

Just then, Artemus 'Artie' Forbes (Clay Drinko), the young assistant of the mortician, William Cavender (played by Jeff Lewonczyk in Episode 2), enters through the window. Forbes claims that Cavender has disappeared, and he feels it has something to do with an object found on Ford's body that Cavender had hidden from Caldwell's investigation. A terrified Forbes gives this small, odd-looking object to Caldwell, claiming it comes from Martians, and disappears out the window again.

Caldwell and Viernik evaluate their situation, and Caldwell asks Viernik once and for all: Was there a vampire? Viernik hesitates, then says no. Caldwell believes him and says the next steps of the investigation are to deliver the odd-looking object from Ford's body to "the Wizard of Menlo Park" and then contact the man who knows the current whereabouts of the Magical Mister E. Viernik begs Caldwell to let him continue assisting the investigation - Viernik must know the secret behind the Great Switcheroo.

We return to the theatre of the Magical Mister E, New York, November 1907. Mister E is preparing for the evening's performance and Penny has asked him, "What is the Great Switcheroo?" Penny prods and pries, but Mister E will not give anything away, and seems uncomfortable with Penny being there at all. Penny accuses him of trying to get rid of her. As the house is about to open, Mister E reluctantly agrees that she can assist him in the show but that she cannot under any circumstances participate in the Great Switcheroo itself.

The audience enters, including Simeon Vienikovac, as we saw in the first scene. Once again, Penny and Mister E argue. We find out that they've been having an affair, and Penny is convinced that he'll never leave his wife for her. Penny also threatens to give away all of Mister E's secrets, and with that, storms up to the platform, throws the mannequin to the floor and stands in its place. Mister E gives her one last look, and then performs the Great Switcheroo. Penny disappears and is replaced by a man in an orange jumpsuit, Robert Ford. The audience riots at this witchcraft and Ford runs from the stage, all the while a stunned and heartbroken Mister E shouting, "Where is Penny?"

We return to San Francisco, March 1909, where Caldwell and Viernik meet with - much to Viernik's delight - the famous escape artist and magician, Harry Houdini (Patrick Pizzolorusso). Houdini tells them that after the Great Switcheroo, the Magical Mister E was accused of practicing black magic and his shows became less popular because he couldn't deliver the Great Switcheroo a second time. Mister E used his sleight of hand in a Chicago gambling house; some players got wind of his trick and one night his fingers were "accidentally backed over three times by an automobile." His hand worthless, the former Magical Mister E is now living in solitude outside Denver, Colorado under the name Evan Charles.

We then go to a deserted farmhouse outside Denver, one month earlier, where we find Mister E alone, still dressed in his performance tuxedo, his hand bandaged. He is confronted by Robert Ford, who got the whereabouts of the disgraced magician from Houdini before Caldwell and Viernik did. Ford demands that Mister E reverse the trick and send him home. Mister E says it's impossible. He tells Ford the origin of the Great Switcheroo, a trick that could be performed only once, offered to him by a shadow organization whose members wore white masks. One of them removed his mask and was a man so famous and world-renowned that Mister E believed - and accepted - their proposal. Their only terms were that they would take the man who appeared in the Great Switcheroo, for reasons they would not reveal.

Ford demands more information, but Mister E convinces him to participate in a magic trick one more time - actually a trick to get Ford to shoot him. As Mister E lay dying, he apologizes to Ford, and to Penny, wherever she may be. Ford flees.

One month later, Caldwell and Viernik discover Mister E's decaying body, as well as the dead magician's journal. Viernik tries to take the journal from Caldwell, convinced that it holds the secret of the Great Switcheroo. Caldwell refuses to give Viernik the journal, as it is evidence in a murder case. The two part ways.

We see Viernik alone on a train back to San Francisco, and he has stolen the journal from Caldwell. He discovers the journal is written completely in code, except for the last entry: "For those who are looking for diagrams, sketches, answers to the Great Switcheroo: Do not bother. There is only one question to ask. There is only one question that must be answered. Where is Penny? Where is Penny? Where is Penny?"

The episode concludes in a prison cell, New York, November 2012, where we hear a terrified woman calling for "Charlie" over and over. As a gruff prison guard, Horace Torque (Valentine Lyashenko), opens the cell, we see that this woman is Penny, still dressed in her magician's assistant outfit, confirming that the Great Switcheroo involved two people switching places from two different periods in time.