Gloria and Winnie find Ray's dead body. The police bust into Nikki's motel room and arrest her for the crime, as Meemo looks on from the parking lot.
Emmit acts strangely at the dinner with Sy and Ruby Goldfarb, even remarking that maybe they should be buying Ruby out instead of the other way around (much to Sy's chargrin).
In lock-up, Chief Moe Dammick brings Nikki a photo of Ray's body and tries to get her to confess. She remains silent and examines the picture to figure out what happened to Ray. Moe and the St. Cloud chief forbid Winnie and Gloria from continuing to work on the case. Gloria refuses to back down, much to Moe's annoyance.
Gloria quietly sends Winnie off to confront Emmit, to gauge his reaction to news of Ray's death. Gloria, meanwhile, desperately attempts to finagle her way in to speak with Nikki, but is barred by all kinds of bureaucratic red tape and necessary forms.
At the police station all alone, Donny gets a call about a vandalism or robbery and leaves to go check it out. He realizes he forgot his gun and goes back, only to find Yuri there rifling through the files. Yuri intimidates Donny into leaving without apprehending him.
Emmit continues to rant at the dinner as Sy tries to shut him down. Winnie arrives to speak with Emmit, and Emmit immediately reacts very suspiciously, clueing her (and Sy) in that he knows something about Ray's death. After they leave, Winnie approaches Ruby to question her about the dinner.
Sy drives Emmit home and tries to explain what he'll do for damage control. He wonders whether Varga killed Ray. Emmit accuses Sy of having teamed up with Ray to betray him, but Sy points out that that's illogical. Emmit apologizes for the accusation. Sy encourages him to take the money from Mrs. Goldfarb and run, in order to get out of the situation with Varga.
Emmit goes into the house, and Sy is chilled to see that Varga is waiting upstairs for him. Varga tells Emmit about an English nursery rhyme that his mother used to sing him when he'd have a nightmare as a child. At Sy's house, Sy breaks down and cries in his wife's arms about the world being wrong.
An unknown police office comes to Nikki's cell and claims to need to check her cell for contraband. He handcuffs her arms to the bars and prepares to inject her with a syringe. Gloria arrives just in time, intervening and holding him at gun point. The man escapes, and other officers and Chief Dammick come in and find only Gloria there. When they check the tape, it's been erased as if it was hacked. Dammick is hesitant to believe Gloria's story.
Gloria and Dammick go to talk to Nikki. Gloria lays out her theory about the whole situation, insinuating that Emmit may have come after Ray in retaliation for the robbery attempt. Nikki will only tell them to "follow the money," suggesting it might not have been Emmit who came after Ray. Dammick orders Nikki back to state prison, with high security detail. Gloria offers to come back with pie for Nikki after the holiday so they can discuss Ray.
Nikki is escorted onto the state prison bus. She's seated next to Mr. Wrench, from Fargo Season 1. En route to the prison, Yuri steps out into the road, forcing the bus off the road and causing it to flip over. Nikki is knocked unconscious and the other passengers are injured. Yuri, in a jacket with the head of a wolf as the hood, begins cutting through the bars of the cage to get to unconscious Nikki in the back of the flipped bus.