Chicago in February, 1929. Saxophonist Joe and his upright-bass-playing friend Jerry witness the Saint Valentine's Day Massacre by accident after fleeing the police raid of a speakeasy where they were playing. When gangster boss Spats Colombo and his fellow mobsters spot them witnessing the scene, the two run for their lives. Penniless and desperate to leave town as quickly as possible, they take a job with Sweet Sue and her Society Syncopators, an all-female band headed to Miami. Disguising themselves as women and taking the names "Josephine" and "Daphne," they board the train with the band and their male manager, Mister Bienstock. Once aboard, they make the acquaintance of the beautiful Sugar Kane, the band's vocalist and ukulele player.
Joe and Jerry both develop crushes on Sugar and compete for her affection whilst still maintaining their feminine disguises. Sugar confides to "Josephine" that she has sworn off male saxophone players as they have stolen her heart in the past and left her "with the fuzzy end of the lollipop." Trying to learn from her mistakes, Sugar is aiming to meet a sweet, bespectacled millionaire in Florida.
Once they reach Miami, Joe adds another alias to his repertoire, assuming the disguise of a millionaire named "Junior," the heir to Shell Oil. He feigns disinterest in Sugar, hoping this will attract her attention. Meanwhile, a genuine millionaire, an eccentric mama's boy named Osgood Fielding, tries repeatedly to pick up "Daphne," who rebuffs him. Jerry is appalled by the male attention, but Osgood doesn't back down, inviting Joe/"Daphne" for a champagne supper aboard his yacht. Joe convinces Jerry to keep Osgood occupied on shore so that he—as "Junior"—can take Sugar to Osgood's yacht and pass it off at his own, in order to keep up his millionaire act. Once on the yacht "Junior" explains to Sugar that he is impotent due to a psychological trauma, but if anyone could change that he would definitely marry them. Sugar tries to arouse "Junior" and they begin a passionate affair. Jerry and Osgood also have a romantic night, with Osgood proposing marriage and Jerry accepting, not thinking of the obvious complications of his disguise.
The next day, Spats Columbo and his men arrive at the hotel in Miami for a convention of gangsters run by an even more powerful mob boss, Little Bonaparte. Little Bonaparte is not happy with Spats Columbo, since Spats killed one his good friends, Toothpick Charlie, and because he let Joe and Jerry, the two witnesses to the crime, get away. Joe and Jerry decide that they must leave right away, and Joe makes a call to Sugar's room posing as "Junior" and telling her that they cannot be together. She is heartbroken. After Spats and his men recognize Joe and Jerry, Joe and Jerry hide under a banquet table in a large convention room. At a meal around the banquet table, Spats and his cronies are gunned down by Little Bonaparte's men. Joe and Jerry flee the scene, hoping to escape by posing as "Josephine" and "Daphne" and sailing away on Osgood's yacht. Before they leave, Joe, dressed as "Josephine" approaches Sugar onstage at the hotel as she sings a song about heartbreak, and kisses her. He flees again, and he and Jerry make their way down to Osgood who is waiting in a boat. At the last minute, Sugar joins them and they start out for the yacht. Joe reveals his true identity to Sugar, and she forgives him for his deception. Jerry reveals to Osgood that he is a man, but this doesn't seem to faze the millionaire at all.