Nick Sax is a drunken and corrupt former cop who becomes a hit man, and who is adrift in a world of casual murder, soulless sex and betrayal. After a job goes wrong, his inebriated life is forever changed by a small, relentlessly positive, imaginary winged horse named Happy.
A hit man must partner with an imaginary blue winged horse to rescue a missing child.
Sax crashes a high-stakes poker game to win guns and cash for an escape from New York as Happy tries to convince him he's a father. Ex-wife Amanda and ex-lover Merry team up to rescue Hailey.
Sax journeys through a dark past while he and Happy track his daughter. Merry and Amanda make a chilling discovery. Very Bad Santa coerces information out of Hailey about her dad.
Sax and Happy follow their fortunes to Chinatown. Blue's sister shows up seeking revenge for the murder of her sons. Merry's search draws her ever closer to Very Bad Santa.
Sax and Happy go separate ways following a destructive family reunion; Merry is under investigation by Internal Affairs. Hailey and children are introduced to a far more terrifying prison.
Sax and Happy embark on lonely journey in which Sax stumbles on a new plan to negotiate for his daughter's release and Happy takes solace in the welcoming arms of another Imaginary Friend.
Finally reunited, Sax and Happy make one last push to save Hailey. Amanda pursues a dangerous lead all by herself. Blue and Isabella come to blows over a dark family secret.
With Christmas approaching, Sax and Happy are locked in a climatic confrontation to rescue Hailey from Very Bad Santa's lair; Merry sets out to save Amanda from a far more powerful foe.