The most distinctive and intriguing feature of Mystery Train is its narrative structure. Three stories, occurring simultaneously, are told in separate segments. In the first story, "Far from Yokohama," a young Japanese couple, Jun (Masatoshi Nagase) and Mitzuko (Youki Kudoh), are making a pilgrimage to Memphis to see Sun Studio and Graceland. In the second story, "A Ghost," an Italian woman, Luisa (Nicoletta Braschi), is delayed while transporting the body of her dead husband to Rome. Forced to spend a night in Memphis, she meets a woman, Dee Dee (Elizabeth Bracco), who has just left her boyfriend. We meet Dee Dee's estranged boyfriend, a volatile Englishman named Johnny (Joe Strummer), her brother Charlie (Steve Buscemi), and an African American friend of theirs named Will Robinson (Rick Aviles) in the third story, "Lost in Space." All of these people end up spending the night in the seedy Arcade Hotel.

Each of the segments has at least one character from a foreign country, but the American characters are outsiders as well. The white characters, Dee Dee and Charlie, have moved to Memphis from New Jersey, while the black characters in the film have little control over their livelihoods. When Johnny wonders aloud why there is a picture of Elvis in every room of a hotel located in a black neighborhood and staffed by black workers, Will Robinson explains that the hotel is white-owned, "they just got the brothers working there."

The foreigners in the film are easily misled because of their preconceived ideas of what American life is like. Jun, despite his affected sophistication and air of detachment, is quite naive and is completely dependent on his girlfriend. Because he has no concept of the scale of the American landscape, Jun believes they have arrived in Memphis two days ahead of schedule. In contrast to Jun and Mitzuko, Luisa is sophisticated and cosmopolitan, but she is just as vulnerable in Memphis as the young Japanese couple. A cab driver drops her off at an arbitrary location in the city and she buys several magazines she has no interest in because of the newsstand clerk's persuasive sales pitch. Johnny carries a gun like a character from an old Hollywood western where gunslingers must "check your guns at the bar." Johnny seems to be acting out a scene from a bad crime film when he later critically wounds the clerk of a liquor store in a senseless robbery.