It is February 1929 and in Chicago, saxophonist Joe and his double-bass playing friend Jerry witness the Saint Valentine's Day Massacre by accident. When gangster boss Spats Colombo and his fellow mobsters spot them witnessing the scene, the two run for their lives. Penniless and needing 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. They disguise themselves as women and take the names Josephine and Daphne, then board the train with the band and their male manager, Mister Bienstock. As they board the train they notice the beautiful Sugar, vocalist and ukulele player.
Joe and Jerry both develop a crush on Sugar and compete for her affection whilst still maintaining their disguise. Sugar confides 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". She is aiming to meet a sweet, bespectacled millionaire in Florida. During the forbidden drinking and partying on the train Josephine and Daphne become close friend with Sugar, having to remind themselves that they are supposed to be women and cannot make a pass at her.
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 sttantion. Meanwhile, a genuine millionaire, much-married mama's boy Osgood Fielding tries repeatedly to pick up Daphne who rebuffs him. He invites her for a champagne supper aboard his yacht. Joe convinces her to keep Osgood occupied on shore so that Junior can take Sugar to Osgood's yacht and pass it off at his own. 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 eventually starts to succeed.