Set in New Jersey during the Great Depression in 1935, the film tells the story of Cecilia (Mia Farrow), a clumsy waitress who goes to the movies to escape her bleak life and loveless, abusive marriage to Monk (Danny Aiello), whom she has attempted to leave on numerous occasions.
The latest film Cecilia sees is a fictitious RKO Radio Pictures film, The Purple Rose of Cairo. It is the story of a rich Manhattan playwright named Henry (Edward Herrmann) who goes on an exotic vacation to Egypt with companions Jason (John Wood) and Rita (Deborah Rush). While in Egypt, the three meet archaeologist Tom Baxter (Jeff Daniels). Tom is brought back for a "madcap Manhattan weekend" where he falls head-over-heels for Kitty Haynes (Karen Akers), a chanteuse at the Copacabana.