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A hit-man is forced to 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, while 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, and Very Bad Santa coerces information out of Hailey about her "hero" dad.

Sax and Happy follow their fortunes to Chinatown while Blue's sister shows up seeking revenge for the murder of her sons, and Merry's search draws her ever closer to Very Bad Santa.

Sax and Happy have a difference of opinion following a destructive family reunion, Merry is under investigation by Internal Affairs, and Hailey and the other 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, and 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, and Merry sets out to save Amanda from a far more powerful foe.