Shadow is an ex-convict who is released from prison three days early when his wife Laura is killed in a car accident. Shadow is devastated by her death, and is distraught to learn that she died alongside his best friend Robbie, with whom she had been having an affair. He takes a job as a bodyguard for a mysterious con man, Mr. Wednesday, and travels with him across the United States, visiting Wednesday's acquaintances. Shadow meets a leprechaun named Mad Sweeney, who gives Shadow a magical gold coin after Shadow beats him in a fight. Shadow later tosses the coin into his wife's grave at her funeral, inadvertently bringing her back from the dead as a semi-living revenant. Shadow meets Czernobog and the Zorya Sisters. One of the sisters gives Shadow a silver coin, coming from the Moon, that will protect him. Shadow learns that Wednesday is an incarnation of Odin the All-Father, and that he is recruiting American manifestations of the Old Gods, whose powers have waned as their believers have decreased in number, to participate in a battle against the New American Gods – manifestations of modern life and technology (which is what most Americans now inadvertently worship), such as the Internet, media, and modern means of transport. Shadow meets many of Wednesday's allies, including Mr. Nancy (Anansi), Easter (Ēostre), Whiskey Jack (Wisakedjak) and John Chapman (Johnny Appleseed).
The New Gods abduct Shadow (utilizing a group of shadowy Men in Black called Spooks, led by the mysterious Mr. World), but Laura rescues him, killing several Spooks in the process. Wednesday tells Shadow to hide with Mr. Ibis (Thoth) and Mr. Jacquel (Anubis), who run a funeral parlor in Cairo, Illinois. Sweeney appears and begs Shadow to give him the coin back as he had accidentally given Shadow the coin that held all of his luck and power. Shadow admits that he no longer has the coin and Sweeney dies lamenting that he used to be a king only to die like this. His body is tended to by Ibis and Jacquel, who lament the loss of another Old God. On the way to the Wisconsin community of Lakeside, Shadow picks up the hitchhiker Samantha Black Crow and drops her off at her house. Once in Lakeside, Shadow hides under the alias "Mike Ainsel" and spends time with several Lakeside residents, including the elderly Hinzelmann, police chief Chad Mulligan and local reporter Marguerite Olsen who all live simple but happy and prosperous lives. Hinzelmann explains the Lakeside tradition to take a car onto the ice and bet on when it will fall through. Wednesday periodically takes Shadow on jobs to meet other gods. They are pursued all the while by the Spooks, particularly Mr. Town, who blames Shadow for the death of his friends. When a teenager in Lakeside goes missing, Shadow helps the other residents search for her, but she isn't found. Shadow learns from another teenager in the town that children and teenagers often go missing from Lakeside. Shadow runs into Sam and Robbie's widow out of coincidence. He is shortly arrested by Chad for breaking his parole, but is able to escape with help from Czernobog and Mr. Nancy.
The New Gods seek to parley with Wednesday, but murder him at the meeting. This act is witnessed by and galvanizes the Old Gods, and they rally to face their enemies in battle at Rock City. While retrieving Wednesday's body, Shadow is surprised to discover his old prison cellmate and mentor, Low Key Lyesmith, is working as a driver for the New Gods. Shadow is bound by his contract with Wednesday to hold his vigil by re-enacting Odin's time hanging from a "World Tree" while pierced by a spear for nine days. During these nine days, he is visited by Horus, who has become mad from living too long as a hawk. Shadow dies and visits the land of the dead, where he is judged by Anubis. Shadow learns that he is Wednesday's (Odin's) son, conceived as part of the deity's plans. During this time, Mr. Town arrives at the World Tree, ordered by Mr. World to cut a branch from it.
Horus finds Easter and convinces her to bring Shadow back to life. Shadow realizes Mr. World is actually Low Key (Loki) Lyesmith, and that Odin and Loki have been working a "two-man con". They orchestrated Shadow's birth, his meeting of Loki in disguise in prison, and even Laura's death. Loki had arranged for Odin's murder, thus making the battle between the New and Old Gods a sacrifice to Odin, restoring Odin's power, while also allowing Loki to feed on the chaos of the battle.
Laura chooses to hitchhike to Rock City and meets Mr. Town, who does not realize who she is, and they agree to travel together. During their travels, Laura learns who Mr. Town is and, once they arrive at their destination, kills him and takes the branch he took from the World Tree. She then meets with Loki and manages to stab him with the World Tree branch, which turns into a spear as she stabs.
Shadow arrives at Rock City and confronts Loki, now gravely wounded, and the ghost of Odin, who reveal their plans. Shadow travels to the site of the battle and explains that both sides have nothing to gain and everything to lose, with Odin and Loki as the only true winners. Shadow tells them the United States is a bad place for Gods, and he recommends they return to their original homelands. The gods depart, Loki dies, and Odin's ghost fades. Laura asks Shadow to take the coin from her, which he does, and she finally dies.
After resting with Mr. Nancy, Shadow remembers a dream where the Hindu god Ganesha told him to "look in the trunk". He returns to Lakeside and walks onto the thinning ice toward the car resting there. He picks the lock and opens the trunk to find the body of the missing teenager inside. He falls through the ice and, while trapped beneath, sees cars from past winters resting on the lake floor. Each one presumably has a child's body locked inside. Shadow is saved by Hinzelmann, who takes him to his house and treats him for hypothermia. Shadow realizes that Hinzelmann is a god and is also responsible for the children's kidnappings and deaths. Hinzelmann explains that he regretfully must take one child as a sacrifice each year in exchange for the town's prosperity. The townspeople are unaware of this and Hinzelmann's control of the town as he tries to sacrifice children that no one will greatly miss. Shadow thinks of killing Hinzelmann, but finds he cannot as Hinzelmann saved his life. However, Chad Mulligan overhears the conversation and shoots Hinzelmann, killing him. Shadow and Chad drive away, with Chad guilty to the point of suicide. Shadow concludes this is a fail-safe created by Hinzelmann so that whoever killed him would die soon after. Using magic, Shadow takes Chad's memory of overhearing Hinzelmann and the killing. He leaves Chad and Lakeside behind, understanding that the town's prosperity will likely wither away without Hinzelmann's protection.
In Iceland, Shadow meets another incarnation of Odin (created by the belief of the original settlers of Iceland), who is much closer than Wednesday to the Odin of mythology. Shadow accuses Odin of Wednesday's actions, but Odin retorts: "He was me, yes. But I am not him." He indicates that Wednesday was the part of him that went with his followers when they traveled to the new world and became corrupted as he was gradually forgotten. Shadow gives Wednesday's glass eye to Odin, which Odin places in a leather bag as a keepsake. Shadow performs a simple sleight-of-hand coin trick, which delights Odin, who asks for a repeat performance. Shadow then performs a small piece of real magic, pulling a golden coin from nowhere like Mad Sweeney did when they first met. He then flips the coin up into the air and walks away, wondering if the coin will ever come back down.
