The protagonist of the story has a deep-set habit of taking evening strolls, regardless of his location or the weather conditions. This nightly ritual is crucial for his sleep, and he feels compelled to walk at least a quarter of a mile each day. In March of 1921, he visits London to stay with his friend James Oldwick, who has connections with Scotland Yard. However, on the evening of March 15th, the protagonist must walk alone as Oldwick is away on business in Liverpool.

The weather that evening is dismal, with a constant drizzle that seems to exacerbate the protagonist's sense of unease and foreboding. Despite the early hour, the streets are nearly empty, which he attributes to the uninviting weather. His walk leads him without specific aim through a wealthy residential district.

Unfortunately, as the story remains unfinished, the details of the "strangest, fantastic, and gruesome experiences" hinted at by the narrator are unknown. The text cuts off as the setting is established, leaving the nature of these experiences and their impact on the protagonist to the reader’s imagination.