Moscow, USSR. In the opening scene, three young people are seen ice skating on the frozen pond in Gorky Park. Three days later, Soviet militsiya officer Arkady Renko (William Hurt) investigates the discovery of their bodies a short distance from the skating rink. All have been shot in the chest and mouth; their faces and fingerprints have been completely removed with surgical instruments. Renko is left anxious and paranoid when the KGB refuse to take over the investigation. Renko enlists the help of Professor Andreev (Ian McDiarmid) to reconstruct their faces.
During his investigation, Renko crosses paths with William Kirwill (Brian Dennehy), a New York police detective who is in the Soviet Union investigating the disappearance of his brother James. At a weekend getaway at the dacha of Chief Prosecutor Iamskoy (Ian Bannen), Renko also makes the acquaintance of the American sable importer Jack Osborne (Lee Marvin) and his girlfriend Irina Asanova (Joanna Pacua). Renko is eventually able to piece together the victims' identities: James Kirwill, and two young Russians who were friends of Irina. He discovers that the three were busy constructing a chest for Osborne.
Renko's suspicion of Osborne mounts over time, during their polite but tense conversations in social settings. When Irina is attacked by a KGB officer who attempts to inject her with a fatal overdose of drugs, Renko saves her. Nursing her back to health in his apartment, they begin an affair. Kirwill finally locates the barn where the three victims were building Osborne's chest. It was designed to smuggle six sables out of the country and to break the Soviet monopoly on their fur, potentially earning Osborne millions of dollars. Irina stubbornly continues to believe that her two friends are alive. Osborne had promised to smuggle them out of Soviet Union in return for their work; he tells Irina that they were successfully freed.
Renko confronts her with Prof. Andreev's reconstructed head of one of her friends, forcing her to realize that they have been murdered by Osborne. She confesses the full details of the plot to him and then runs away. Renko and Kirwill go to Andreev's to retrieve the second reconstructed head, but a KGB agent emerges with it in a box. They follow him, and Renko is crushed to find they are back at Iamskoy's dacha.
They watch from a distance as Osborne and Iamskoy supervise the destruction of the head by the KGB agent. To Kirwill's horror, it is his brother's head. Renko confronts Iamskoy in a bath house. Iamskoy cordially admits that he kept Renko on the case because Osborne was unwilling to pay a high enough price to smuggle out the sables. Renko's investigation was intended to frighten Osborne into paying more. He offers to cut Renko in on Osborne's kickback. Renko reveals that he has recorded the conversation, and Iamskoy jumps up and wrestles Renko for the gun. In the ensuing struggle, Renko's gun goes off and kills Iamskoy.
Osborne flees to Stockholm, Sweden. The KGB allows Renko to travel there to supervise an exchange. He is to receive the sables from Osborne, whereupon everyone will be allowed to walk away. Renko is shown into a bedroom where Irina is waiting for him. She confesses that she fled to Osborne, who has worked her freedom into the deal for the sables. She promises Renko that his freedom can also be part of the deal.
Disgusted by her treachery, Renko tells Irina she has blood on her hands. He meets with Kirwill and the two assume that as soon as the exchange is complete, the KGB will kill Irina, Renko and Osborne all at once. The next morning, at a remote farm, Renko and the KGB agents approach Osborne. They come across the corpse of Kirwill; tied to a tree with his intestines hanging out.
Renko is devastated; Osborne then loudly announces that he gutted Kirwill after he killed his dogs. Osborne throws six dead sables onto the field and asks the men to lower their weapons. Renko realizes that neither side will let the other live. When Osborne shoots a man, Renko grabs Irina and runs for cover in the woods. Pribluda then kills the other man before Osborne kills Pribluda in a stand off. Osborne tries to shoot Renko in the woods.
Renko finds more live sables in their cages. Irina emerges from the woods and Osborne threatens to kill her if Renko does not surrender. When Renko emerges to give up, Irina shoots Osborne. Renko, too, shoots Osborne before Irina fires multiple rounds, killing him.
She asks Renko to go away with her, but Renko reveals he agreed to do the hit on Osborne in return for Irina's safety and freedom from Soviet Union, and that she'd be hunted down and killed if Renko did not return to Moscow. As Irina runs off to freedom in Sweden, Renko frees all of the sables, which run off into the woods as we hear Irina's voice repeat Renko's promise that they will meet again one day..