Forced to flee together, he drags her through the foggy night, clamping his hand over her mouth to prevent her from crying out. They hide under the stone bridge amidst the sound of bleating sheep. Later, they conceal themselves from a search party under a waterfall, where he threatens her to keep quiet: "One move out of you and I'll shoot you first myself." The film's funny and ironic implications of their being chained or shackled together are comically played up.

After the men give up the search, they find themselves on the road wandering through the moors. His whistling aggravates her and she complains. He insists that the men in the car were not policeman or detectives. Still unconvinced of his innocence and their mutual danger, she thinks he is only imagining things in his "penny novelette spy story." He regrets being chained to his antagonistic adversary - it's a love-hate relationship with overtly sexual overtones:

Hannay: There are twenty million women in this island and I've got to be chained to you. Now look here, miss. Once more, I'm telling you the truth...I'm telling it to you now for a third time. There's a dangerous conspiracy against this island. We're the only people who can stop it - what you've seen happen right under your very nose.
Pamela: The gallant knight to the rescue.
Hannay: All right. Then, I'm just a plain common murderer who stabbed an innocent, defenseless woman in the back not four days ago. How do you come out over that? I don't know how innocent you may be, but you're a woman and you're defenseless, and you're alone on a desolate moor in the dark manacled to a murderer who would stop at nothing to get you off his hands. And if that's the situation you prefer, have it, my lovely, and welcome.
Pamela: I'm not afraid of...(She sneezes)
Hannay: For all you know, I may murder a woman a week. (He offers his handkerchief, but then grabs her forcibly by the collar.) So listen to one bit of advice. From now on, do every single thing I can easily do, and do it quick.
Pamela: You big bully!
Hannay: I like your pluck!

After pulling her along and whistling (to annoy her), the handcuffs force them to spend the night together in a country inn, the Argyle Arms. After explaining that their car broke down, they are offered the one available room (with a double bed) by the innkeeper's wife: "You're man and wife, I suppose?" Of course, they are forced to spend the night very much together and Hannay again assumes a disguise as an eloping newly-wed so they can share the room - they register as Mr. and Mrs. Henry Hopkinson of the Hollyhocks, Hammersmith. [Eighth Identity] The innkeeper also acknowledges that they are a romantic newlywed couple who want to constantly be together. The landlady amusingly exclaims her picture of the romantic fantasy to her husband: "They're so terrible in love with each other!" When Pamela blurts out to the landlady in their room: "I say, please don't go!", Hannay prevents Pamela from exposing their charade by pressing a pretended-gun in his pocket against her:

Landlady: Is anything wrong?
Hannay: Of course there's nothing wrong. She wants to tell you something, that's all. We're a runaway couple.
Landlady: ...And they're after you?
Hannay: You won't give us away, will you please?
Landlady: Of course we will not give you up. A good night to you both. You will no be disturbed. (He squeezes Pamela's throat, almost strangling her, to prevent her from confessing.)

As they sit and eat the sandwiches that have helpfully been brought to the room, Hannay provocatively jokes with Pamela. He wonders whether there will be more coercion or peaceful co-existence:

Hannay: Now what's the next item on the program?
Pamela (gesturing toward the handcuffs): Get these things off.
Hannay: Right. How are we going to set about it? Anything in that bag of yours that would help? A pair of scissors or hairpin, or something?
Pamela: A nail file. Well, do you think that'd help?
Hannay: ...It'll take about ten years, but we can try it. Now let's make ourselves as comfortable as possible. What about that skirt of yours? It's still pretty damp, you know. I don't want to be tied to a pneumonia case on top of everything else. Take it off. I don't mind.
Pamela: I'll leave it on, thank you...My shoes and stockings are soaked so I think I'll take them off.
Hannay: That's the first sensible thing I've heard you say.

When she removes her left leg's stocking by slipping it down her leg, his manacled hand must follow hers down her leg. He innocently asks: "Can I be of any assistance?" After the first stocking is off, she takes command of the situation and fills his free hand with her sandwich while the second one is removed. She drags him over to the fireplace where he hangs the stockings to dry. He drinks down his whiskey in one gulp and then pulls her over to the bed ("the operating table"):

Hannay: Now, will you kindly place yourself on the operating table? (She reacts insulted and shocked.) All right, all right, nobody's gonna hurt you. This is Armistice Day. Let's get some rest while we can.
Pamela: I'm not going to lie on this bed.
Hannay: As long as you're chained to me, you'll lie wherever I lie. We're the Siamese twins.
Pamela: Oh, don't gloat!
Hannay: Gloat? Do you think I'm looking forward to waking up in the morning and seeing your face beside me, unwashed and shiny? What a sight you'll be.

Hannay remembers why he is so tired - he hasn't slept in a bed since the previous Saturday night, and then it was only for a couple of hours. While lying together on the bed, he becomes absorbed in his own sarcastic performance while falsely admitting his murderous past to confirm her suspicions:

Pamela: What made you wake so soon? Dreams?
Hannay: What do you mean, dreams?
Pamela: I've always been told murderers have terrible dreams. (He pulls her by the handcuffs to register disapproval.)
Hannay: (playing along to amuse her) Oh, but only at first. Got over that a long time ago. When I first did a crime, I was quite squeamish about it. I was a most sensitive child.
Pamela: You surprise me.
Hannay: I used to wake up in the middle of the night screaming, thinking the police were after me. But one gets hardened.
Pamela: How did you start?
Hannay: Oh, quite a small way like most of us. Pilfering pennies from other childrens' lockers at school. Then a little pocket-picking and a spot of car-pinching, and smash-and-grab and sordid, plain burglary. Killed my first man when I was nineteen. (He yawns) In years to come, you'll be able to take your grandchildren to Mme. Tussaud's and point me out.
Pamela: Which section?
Hannay: Oh, it's early to say. I'm still young. But I'll be there, all right, in one department or another. Yes, you'll point me out and say: 'Chicks, if I were to tell you how matey I once was with that gentleman...'

She turns abruptly during his fantasy about how he became a murderer and complains about how the handcuffs are cutting and pinching her wrists. He concludes his textbookish story about his "career of crime" with how he was influenced by his Great Uncle Penruddy, "the Cornish Bluebeard" - Pamela falls asleep before he has finished his life-story tale:

He murdered three wives and got away with it, but his third mother-in-law got the goods on him and tried to have him arrested. Did she succeed? No! He was too quick for her. Took her for a walk to Land's End and shoved her over into the Atlantic Ocean. He's in Mme. Tussaud's all right, and there's no doubt about his department. We must go down and see him sometime. Can't mistake him. Third on the left as you go in. Red whiskers and a hare-lip. And that, lady, is the sad story of my life. A poor orphan boy who never had a chance.

They both collapse on the bed without passion, further attacks or counter-attacks, or discussion. The camera pans away from them and comes to rest on a metaphoric phallic symbol - a burning candle.

Briefly, the next scene cuts to the Professor, who tells Louisa, his loving wife, as he leaves his residence on his secret mission: "As soon as I've picked up - you-know-what, I'll clear out of the country."

The scene returns to a fade-in on the burned-down candle in the Argyle Arms Inn. Pamela awakens in the middle of the night while Hannay is still asleep, and since she has small feminine wrists, she manages to slip free of the cuff. As she prepares to desert Hannay, she satisfies her curiosity by reaching her hand into his coat-jacket pocket, where she is annoyed to find a tobacco pipe instead of a gun. On the top landing of the hallway above the lobby, she overhears a phone call that one of the spy/agents is making to Professor Jordan's co-conspirator wife Louisa, and then a conversation between the two spies. At one point, she is ready to call out to the conspirators, but then is shocked by what she hears. She becomes convinced of Richard Hannay's innocence when she hears that the Professor is going to warn the 39 Steps and then rendezvous at the London Palladium:

Oh, he's gone to London already, has he?...The girl handed him over to us thinking we were detectives...He's cleared out already...He thought it too dangerous with Hannay on the loose. He's warning the whole Thirty-Nine Steps. Has he got the, uh, you-know? Yes. He's picking up our friend at the London Palladium on the way out.

Interrupting excitedly, the innkeeper's wife dismisses the agents for drinking after hours. She thereby prevents her husband from revealing the young couple's presence in the inn. After Hannay and Pamela have left, she kisses her husband and cautions him: "You old fool ya, you wouldn't have given away a young couple, would ya?" The camera pans up above them to Pamela smiling down on them. She returns to the room, accompanied by lyrical romantic music in the background, where she finds Hannay still sleeping peacefully. She covers him with a blanket and then curls up for warmth on a divan at the foot of the bed. After contemplating what to do next, she pulls the coverlet from Hannay and wraps it around herself.

Day Four: (Monday)

When Hannay awakens with no-one attached to the handcuffs, he looks up toward the bedroom door that stands ajar. Thinking Pamela may have turned him in or left his life for good, he is pleasantly surprised to see her pop up in front of him. She greets him softly and warmly with: "Morning." After telling him that she has learned the truth, he asks sarcastically: "May I ask what earthquake caused your brain to work at last?" She relates how she overheard a telephone conversation about the Thirty-Nine Steps and the Professor's meeting with someone at the London Palladium. Then, she presents him with a long overdue apology for not believing him, but they melodramatically engage in another argument before too long. He is angered that she didn't wake him immediately:

Pamela: I feel such a fool, not having believed you.
Hannay (as he fingers the handcuffs): Oh, that's all right. (Shyly and nervously) Well, we ought to get a move on. What room are those two men in?
Pamela: No room, they went as soon as they telephoned.
Hannay: (harshly) They what?
Pamela: Didn't I tell you?
Hannay: You let them go after hearing what they said? You, you button-headed little idiot!
Pamela: Don't talk to me like that!
Hannay: Four or five precious hours wasted. Why didn't you wake me up at once? Even you might have realized that what they said was important.

Accused of murder, Hannay is desperate to expose the Professor and the agents at the Palladium - it's the only way to clear his own name. Spitefully, Pamela tells him that the name of the show at the London Palladium is apt: "The show just about suits you...Crazy Month."

In a brief sequence at the Scotland Yard Office in the City of Westminster, Pamela tells her story to officials, but learns that they are still convinced that Richard is a murderer because no Air Ministry information is missing:

It's true the Air Ministry has got a new thing quite a lot of people are interested in. They are positive that no papers are missing about it that would be of any use to a spy.

As she leaves, she refuses to tell them the whereabouts of the fugitive: "I haven't the faintest idea." But they order her followed to the Palladium, just as Hannay hoped: "She'll lead us to Hannay, all right."

The film returns full-circle to London's Palladium, where Mr. Memory is again on the bill. When Pamela arrives, a comedy act is performing for a raucous audience. The police and other agents are gathering in and around the Palladium in full force to prevent anyone from leaving the theatre. In his orchestra seat in the middle section of the ground floor, Hannay borrows a pair of opera glasses from the person seated next to him. From his point-of-view, he spots a man - the Professor - (with his hand on the railing missing the top joint of his little finger) hiding behind the curtain in the corner of one of the opera boxes. Pamela joins Hannay and tells him that there are no missing papers: "You can't do anything about it. I've been to Scotland Yard."

When the orchestra strikes up a new musical number, a familiar tune that he remembers from the cabaret act at the Music Hall, Hannay realizes that it is the tune he has been obsessively whistling: "Do you hear that tune? It's that thing I couldn't get out of my head! Now I know where I heard it before. Of course! At Music Hall! Annabella Sm..." Just then, the curtain rises and Mr. Memory appears on-stage before the audience. As the memory expert is again introduced by the Master of Ceremonies with the same words verbatim, Hannay exclaims to Pamela: "It's the same little man." In his opera-glasses view, he can see Mr. Memory turn and glance up at the Professor - meaning that Mr. Memory and the Professor obviously know each other. Jordan takes something shiny from his coat pocket and signals Mr. Memory with its reflection. The memory expert nods back to the Professor.

Enlightened by connecting all the strands of his experience and Pamela's clue that there are no papers missing, Hannay realizes that the memory expert holds the Hitchcockian "MacGuffin" in his head - he has memorized the classified secret information regarding mechanical plans for the design of an airplane engine:

I've got it! I've got it! Of course, there are no papers missing. All the information's inside Memory's head...Don't you see? The details of the Air Ministry secrets were borrowed, memorized by this little man, and then replaced before anyone could find out. That's why he's here tonight to take Memory out of the country after the show.

As the police converge on them, and hecklers in the audience call out more impossible questions, ("When did Florence Nightingale die?" "What is the height of the Empire State Building?" "What was the date of General Gordon's death?" "Where's the capital of ...?" ), Richard tries to convince the detectives that they should listen to him, but they refuse: "Now look here, old man, you don't want to cause any trouble and spoil people's entertainment." Suddenly, Hannay breaks away from the arresting detectives and shouts a question out to Mr. Memory. He asks him the one innocuous question that will ultimately test him:

What are the Thirty-Nine Steps? Come on! Answer up! What are the Thirty-Nine Steps?

Caught in a paradoxical dilemma [and in a tilted, off-balance camera angle], Mr. Memory hesitates and expresses dismay, shock and anguish on his face about how to answer the question in front of the audience and not appear fraudulent. Becoming a victim of his own professional conscience, he maintains his public image and his peerless reputation as a reservoir of information. Mr. Memory is compelled to give the answer as he always does - with the truth - even if the truth means his own death. He automatically recites the answer - that reveals the term is the code name of the organization he is covertly associated with:

The Thirty-Nine Steps is an organization of spies, collecting information on behalf of the foreign office of...

Before he can speak the name of the country, Mr. Memory is silenced with a gun shot that rings out from Professor Jordan's box above the stage. Provoked to a vengeful act, Professor Jordan murders him and then attempts to flee. The assassin is confronted at the doorway of his box by the shadow of a policeman framed there. He leaps to the stage from the box and is immediately surrounded in the middle of the performance area by a circle of policeman. The curtains close on his arrest.

Backstage, a wounded and dying Mr. Memory "confesses" by proudly reciting the complicated scientific mathematical formulas of the secret documents that he had painstakingly memorized. The secret formula is about how to make silent aircraft engines:

Hannay: Mr. Memory, what was the secret formula you were taking out of the country?
Mr. Memory: Will it be all right me telling you, sir? It was a big job to learn it, the biggest job I ever tackled, and I don't want to throw it all away.
Hannay: It will be quite all right.
Mr. Memory: The first feature of the new engine is its greatly increased ratio of compression represented by ...

On-stage behind them (visible from the wings) - where the audience's attention is focused, a sexy chorus-line of girls highkicks to the tune of Tinkle, Tinkle, Tinkle from the film Evergreen (1934). As he recites the formula during his dying statement, Mr. Memory stumbles and skips over his words, communicating how difficult it was to retain the information. But he finally reaches the end of his memorization: "This device renders the engine completely silent. (To Hannay) Am I right, sir?" Hannay confirms and answers: "Quite right, old chap."

In the film's last line, he expresses relief to Hannay after completing another memorable performance, and then dies in peace:

Thank you, sir. Thank you. I'm glad it's off my mind. Glad.

After his death, the camera pulls back as Mr. Memory slumps down to the floor. Richard and Pamela step into the frame in the foreground and are united together, out of view from the observers of Mr. Memory's death. Richard still has his handcuffs dangling from his wrist. Pamela has a long, elegantly black-gloved arm. They tentatively and privately extend their hands to each other, reaching out and slipping one hand into the other - this time of their own free will, unlike their handcuffed entrance into the bedroom of the Argyle Arms. The film fades to black.