Penny Dreadful is a frightening psychological thriller that weaves together the monsters of classic stories. The explorer Sir Malcolm Murray, American gunslinger Ethan Chandler, Miss Vanessa Ives and others unite to combat supernatural threats in Victorian London. They encounter some of literature's most terrifying characters, including Dr. Frankenstein, Dorian Gray, the Wolfman and iconic figures from the novel Dracula.
Feeling abandoned and alienated by her faith, a shattered and despondent Vanessa seeks the help of Dr. Seward, an American therapist who has an unconventional way of treatment. Meanwhile, now a prisoner under the watchful eye of Scotland Yard Inspector Rusk, Ethan Chandler is on a train speeding through the desert of the American West. Halfway around the world, in Zanzibar, Sir Malcolm is confronted by a mysterious Native American man named Kaetenay who shares a deep connection with Ethan. Back in London, Dr. Frankenstein seeks out his old friend Dr. Jekyll. With all of her friends scattered around the world facing their own demons, Vanessa is left alone to battle a new evil that has emerged from the shadows.
Lily and Dorian rescue a young woman. Sir Malcolm continues on his journey with the enigmatic Kaetenay. Meanwhile, Ethan gets some unexpected help from Hecate. Dr. Frankenstein and Dr. Jekyll hatch a plan. Vanessa’s relationship with Dr. Sweet grows but, unbeknownst to her, evil forces are tracking her every move.
Ethan and Hecate race across the desert with Sir Malcolm and Kaetenay hot on his trail. The Creature returns to London desperately trying to piece his former life back together. After Dr. Jekyll and Dr. Frankenstein’s plan fails, they come up with a new strategy. Lily and Dorian’s young acolyte, Justine, demonstrate useful skills. A clue about her past is revealed to Vanessa.
Vanessa convinces Dr. Seward to use hypnosis to take her back in time, and discovers what really happened to her during her time at the Banning Institute.
Hecate and Ethan travel across the desert, struggling to survive, while the marshals follow them and Malcolm and Kaetenay follow the marshals. In London, Victor and Henry continue their experiments to perfect Henry's serum.
Vanessa turns to an old friend for help, who introduces her to a new ally. Jared has dinner with Ethan, Hecate, Malcolm, Rusk, and Oslow, and invites his son Ethan to do his worse. Meanwhile, Vanessa takes Seward's advice and forms a closer bond with Sweet, while Victor pays Lily and Dorian a visit.
Kaetenay returns to London with Ethan and Malcolm to prevent the darkness that he has foreseen. Meanwhile, Vanessa realizes who Sweet really is, while Caliban is reunited with his family. Elsewhere, Dorian grows bored with Lily's revolution and makes his own plans.
Ethan, Sir Malcolm and Kaetenay return to London. Dr. Seward discovers Renfield's secret. Meanwhile, Ethan heads out in search of Dr. Frankenstein. And Lily reveals a heartbreaking story from Brona Croft's past.
Series finale. Ethan learns the shocking truth about Kaetenay. Dr. Seward uses hypnosis on Renfield. Meanwhile, The Creature must make a moral decision as Sir Malcolm, Ethan, Kaetenay, Dr. Seward and Catriona battle to save Vanessa.