The story begins with three friends, Weary McGrew, "The Whale," and the narrator, deciding to spend their vacation in the Rocky Mountains. They humorously consider other destinations, such as hunting ivory in Africa or discovering the North Pole again, but eventually settle on the Rockies. Their families reluctantly agree, believing they could get into as much trouble there as anywhere else.

Equipped with a variety of guns, including a Remington .35 automatic, a Winchester .45-90, and a Savage .250-3000, along with an assortment of pistols and other weapons, the friends embark on their adventure. They quickly encounter a Gila Monster, which "The Whale" mistakenly identifies as a lizard, causing a humorous and tense moment.

As they explore the mountains, the friends decide to climb a peak, tying themselves together with a rope. Their ascent turns into chaos when "The Whale" slips, dragging the others down the mountain. Fortunately, the rope catches on a boulder, preventing them from falling over a precipice.

The next day, the friends go fishing in a mountain brook, hoping to catch trout. Weary hooks a massive trout, which drags him downstream, much to the amusement and concern of his friends. The episode ends with Weary getting hit by a rock thrown by "The Whale" and eventually losing the fish.

That night, "The Whale" wakes the narrator with claims that their camp is surrounded by Indians. Despite the narrator's skepticism, the friends arm themselves and prepare for a standoff. Weary decides to scout the area and ends up engaging in a humorous "duel" with the narrator, each mistaking the other for an Indian.

As they recount their misadventures, it becomes clear that their fears were unfounded, and they laugh off the night's events. The story ends on this note, with the friends realizing they had been battling their imaginations more than anything else.