Based on the graphic novel of the same name, Nick Sax is a corrupt, intoxicated, ex-cop turned hit man who is adrift in a twilight world of casual murder, soulless sex, and betrayal. After a hit goes wrong, Nick finds a bullet in his side, the cops and the mob on his tail, and a monstrous killer on the loose. But his world is about to be changed forever by a tiny, imaginary, blue-winged horse with a relentlessly positive attitude named Happy. On their journey, they must contend with a laundry list of enemies including angry mobsters, ex-mistresses, ex-wives, and one very bad Santa.
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.
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.
Sax and Happy embark on lonely journey in which Sax stumbles on a new plan to negotiate for his daughter's release; Happy takes solace in the welcoming arms of another Imaginary Friend.
Following a destructive family reunion, Sax and Happy go their separate ways; Merry is under investigation by Internal Affairs; Hailey and children are introduced to a far more terrifying prison.
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 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 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.
A hit man must partner with an imaginary blue winged horse to rescue a missing child.