Their story began back before the war: The showgirls are rehearsing their routine when Tommy Lawson (Marc Platt) comes in for an audition. He dances superbly, but he has had no training and is unable to remember the steps once he's done them. Roz (Rita Hayworth) and her best friend Judy (Janet Blair) take him under their wings saying, "We're going to teach you everything you know." As the three performers emerge as the stars of the show, Judy falls in love with Tommy, and Tommy falls in love with Roz. But the love triangle becomes a square when Squadron Leader Paul Lundy (Lee Bowman) enters their world. He visits the Music Box and is instantly captivated by Roz after seeing her perform "You Excite Me".

Immediately following the number, the city's sirens go off signaling that the blitzkrieg has resumed, and they must take cover. In the theater's bomb shelter awaiting the "all clear" signal, Paul makes his move and asks Roz for a date. She turns him down flatly, but when they meet again, his persistence makes her finally agree to go out with him (much to Tommy's disappointment). To make a meeting in his flat sound more respectable, Paul tells Roz they'd be joined an old pal of his, Chuck Brown. But when she realizes there is no Chuck Brown, she walks out on him, let down by his dishonesty. He apologizes with cards and flowers but she refuses to speak to him so Paul finally arranges to run into her at the theater. He explains his actions, and tells her he'll soon be off to fight in the war. This news makes Roz see she loves him.

Soon after, Paul's father, Reverend Gerald Lundy (Philip Merivale), pays a visit to the theater to see Roz and her show. She gets the idea he's come to tell her that he doesn't want his son involved with a showgirl. But she soon finds out he has come with a proposal of marriage from his son, who is on a special mission for the R.A.F. She ecstatically accepts.

When Tommy finds out Roz is going to marry Paul, he's angry at first, but soon comes to his senses and wishes them well. Later, Judy and Tommy are in the pub across the street from the theater, and just when Tommy begins to fall for Judy, the bombs start dropping again. The pub is directly hit and both Judy and Tommy are killed. Knowing it's what they would have wanted, the Music Box performers decide the show must go on for the soldiers, as long as the war does. Paul will wait to marry Roz until her mission with the theater is completed.