Four gifted street magicians—J. Daniel Atlas, Merritt McKinney, Henley Reeves, and Jack Wilder—are brought together by an unknown benefactor and, one year later, are performing in Las Vegas as "The Four Horsemen", sponsored by insurance magnate Arthur Tressler. For the finale of their first show, they declare they will rob a bank, and invite audience member Étienne Forcier, an account holder at the Crédit Républicain de Paris, to do it. Forcier is apparently teleported to his bank in Paris, where he activates an air duct that vacuums up the money and showers it onto the Las Vegas crowd. Upon discovering that the money really is missing from the bank vault, FBI agent Dylan Rhodes is called to investigate the theft and is partnered with Interpol agent Alma Dray. They arrest the Horsemen but are forced to release them due to lack of evidence.
Rhodes meets Thaddeus Bradley, a former magician who professionally reveals the secrets behind other magicians' tricks. Bradley was in the audience and deduces the Horsemen stole the money weeks earlier, replacing it with counterfeit money printed on flash paper: while the real money was taken to Vegas for the trick, the counterfeit money was burned. The three go to the group's next performance in New Orleans, where they steal millions from Tressler's bank account and distribute it to the audience, composed of people whose insurance claims had been denied or reduced by Tressler's company. Rhodes attempts to apprehend the Four Horsemen, but they escape. An infuriated Tressler hires Bradley to expose and humiliate the Horsemen in their next performance. Meanwhile, Dray researches the group and suggests to Rhodes they may be tied to a secret society of magicians called "The Eye". One of their members, Lionel Shrike, died decades ago when Bradley exposed his tricks and Shrike attempted a fatal stunt to rebuild his career. Dray believes there may be a fifth Horseman who is aiding the group off-stage.
Preparing for their show in New York, the Horsemen evade authorities, but Wilder's car crashes and explodes. The remaining Horsemen vow to continue and complete their final performance, stealing a safe made by the same company that made the safe Shrike died in. They perform their one last show at 5 Pointz during which they seemingly vanish into thin air, transforming into a shower of bills to rain down on the crowd. The money turns out to be a forgery and the real money is found stashed in Bradley's car. Bradley is assumed to be the fifth Horseman and is arrested. Rhodes visits Bradley in his cell, where Bradley explains that the only way the safe could have been removed was if Wilder was still alive. Bradley realizes that Rhodes is the fifth Horseman when Rhodes disappears from the locked cell and reappears outside it. Rhodes tells Bradley he wants him to spend the rest of his life in jail and leaves. The Horsemen are now rejoined by Wilder, whose death was staged as part of the trick. Rhodes arrives, reveals he is their mysterious benefactor, and welcomes them into The Eye.
At the Pont des Arts in France, Dray is met by Rhodes, who reveals himself to be Shrike's son. He masterminded the Horsemen plot as revenge on those involved: Bradley, for humiliating his father; the Crédit Républicain de Paris and Tressler's company, who refused to pay the insurance on his father's death; and the company that produced the substandard safe used in the trick that led to its failure. Dray decides not to turn him in. She takes a lock and a key that Rhodes magically produces, putting the lock on a chain fence and throwing the key into the Seine.
In the extended edition's mid-credits scene, the Four Horsemen have driven to a wasteland in the middle of a desert. All of them enter and find a secret room containing boxes full of their new magic equipment. They turn to McKinney and ask him for his individual card to open the boxes, but he has lost the cards.