Recently widowed well-to-do Laura Henderson purchases the Windmill Theatre in London as a post-widowhood hobby. After starting an innovative continuous variety review, which is copied by other theaters, they begin to lose money. Mrs Henderson suggests they add risqué burlesque acts similar to the Moulin Rouge in Paris.

At the age of forty Dame Margot Fonteyn is considered to be past her best as a prima ballerina and Ninette de Valois is reducing her roles at the Royal Ballet. Then the exciting young Russian dancer Rudolf Nureyev, a recent defector to the West, comes into her life and her bed and revitalizes her career. Frederick Aashton creates a new ballet for them and they become the golden couple of the ballet world. However, Margot is married to Roberto 'Tito' Arias, a Panamanian politician of dubious repute who is not sympathetic to her calling and is probably faithless. When he is shot and paralyzed for life Margot must carry on dancing well into her sixties in order to pay for his costly treatment though she still collaborates with Rudolf in the occasional ballet.