The year is 1911, and Zuleika Dobson, aka Zuleika the Great, a world-famous escape-artiste, is taking a break from her European tour to visit her grandfather, the warden of Judas College in Oxford ("Nothing Ever Happens at Oxford"). While becoming re-acquainted with her grandfather, Zuleika is introduced to "The Duke of Dorset."
Later, while settling in, Zuleika recalls her many, many suitors and how, perhaps, the Duke might be different ("Lovely For a Change").
That evening, at a dinner hosted by her Grandfather, Zuleika regales the guests with her rags-to-world-famous-escape-artiste story. The Duke becomes quite smitten with her.
The next day at the Duke's boarding house, Mr. Noakes and Katie, one of the Duke's classmates and the maid respectively, consider what it would be like to be rich like the Duke and his friends; Katie would prefer a simpler, quieter life ("Castles In the Air"). Zuleika pays the Duke a visit and, while being escorted to his rooms by Katie, remarks how in love with her "he" obviously is. Zuleika means Mr. Noakes, but Katie assumes "he" means the Duke.
The Duke, still besotted from the night before, wastes no time in proposing to Zuleika; she flatly refuses him like all the suitors who came before him; she is a person, not a prize.
Later that day the Duke accompanies Zuleika to the Eights Races, still smarting from her rejection. Zuleika decides she'd prefer other, less surly company but the Duke, in a jealous fit, threatens to throw himself into the river and drown rather than to see the love of his life with another man . . . or men, as it were. Zuleika calms the Duke, and gets him to agree to wait until tomorrow to self-immolate with the promise of a dance at the ball that evening. Secretly, she thrills to the Duke's sincerity . . . perhaps he's not like all her previous suitors after all.
That night at the ball the Duke confesses to Zuleika how miserable he's been all day ("Only Since Yesterday"). Just as it seems Zuleika might requite and release him from his terrible promise, the other students of Judas College interrupt and, inspired by the Duke's bravery, all vow to kill themselves for love of Zuleika. Infuriated by the social implications, Zuleika storms off.
The next morning the Duke receives a letter from Zuleika again rejecting his suit and releasing him from his promise. He first dashes off an angry reply, but is persuaded to temper his response by Katie. The Duke is inspired to write a new reply to Zuleika, apologizing but insisting that he will follow through with his suicide if Zuleika cannot love him.
On the way to delivering the letter, Katie comes across Mr. Noakes, who has spent all night on the rail of a bridge, working up the courage to jump -- Noakes has also assumed Zuleika's "he" meant the Duke. Katie blames Zuleika, but when Mr. Noakes accidentally falls into the river, Zuleika (a world class swimmer since being thrown over Niagara Falls in a number of barrels) dives in after Noakes and rescues him. A relieved Katie delivers the Duke's letter to a now sodden Zuleika, who, in reading the missive, realizes she loves the Duke after all ("I Didn't Know the Meaning of the Word").
Zuleika hatches a plan to stop the Oxford student body from following through with their plans by staging a little hypnosis act for them all. The gambit works ("I Hardly Can Wait"), leaving only the Duke still determined to kill himself for love of Zuleika. At the river's edge Zuleika meets the Duke and, predictably, saves him from his attempted drowning, too.