Wally Winthrop (Abbie Cornish) is a young unhappily married New Yorker who seeks refuge in her obsession with what she thinks of as the ultimate romantic love story, King Edward VIII's (James D'Arcy) abdication of the British throne for the love of divorcee Wallis Simpson (Andrea Riseborough).

When Wally discovers that there is going to be an auction of the royal couple's estate at Sotheby's, she takes the opportunity to try to understand the nature of the great love affair through the artifacts that once belonged to them. While at Sotheby's, Wally meets Evgeni (Oscar Isaac), a Sotheby employee with a mysterious past. As she immerses herself deeper into the love story of Wallis and Edward, while spending more time away from her marriage, she finds herself falling in love with Evgeni. W.E tells two parallel love stories separated by more than six decades, but connected by Wally and Wallis, two fragile but determined women whose lives become inextricably linked as Wally discovers that Wallis Simpson's life was not as perfect as she had once thought.