The novel is a fictionalised biography of the Godolphin Arabian, an ancestor of the modern Thoroughbred. The story starts with Man o' War's victory over Sir Barton in a race. The fans expect Man o' War to race at Newmarket, but his owner, Samuel Riddle, chooses to end his racing career early. When questioned about his decision, he tells the story of the Godolphin Arabian.
The story starts in Morocco, as the fast of Ramadan is ending with the setting sun. The boys in the Sultan's stables begin to hungrily feast, but Agba, a mute orphan, ignores the end of the fast and continues to tend to his favorite Arabian mare. She refuses to eat, even though all the horses were forced to participate in the Ramadan fast along with the humans, and Agba worries for her. The Chief Groom realizes this, and that tonight is her birthing hour.
Agba, sleeping in the mare's stall, wakes to find a new foal in the stable. He notices a white spot on the colt's hind heel, considered the emblem of swiftness and good luck. The Chief Groom, upon entering the stall spots a wheat ear on the foal's chest: a sign of bad luck. He attempts to kill the colt, but Agba intervenes and points out the white spot. The Chief Groom considers this, then leaves, prophesying that the mare will die. Agba, undaunted, names the colt Sham because of his golden coat.
Within a few days, the prophecy is fulfilled when the mare dies. Agba attempts to run away from the stables, but is knocked into a camel. This gives him an idea, and he feeds Sham on camel's milk and wild honey, promising that someday he will be King of The Wind.
Sham matures into a promising racehorse, beating all of the other horses in the stable. He sees Agba as a mother, and they develop a close bond. One day, the Sultan summons six horseboys to his palace, including Agba, and charges them to accompany six horses that are to be given as gifts to the French king. One horse is to be chestnut, one yellow dun, one dark gray, one white, one black, and one bay touched with gold. Sham fits the requirements for the bay horse and accompanies Agba to France. The horseboy is to remain with that horse until death, then return to Morocco.
However, the supposedly great racehorses are frowned upon by the French, who believe that they are not 'lusty' enough to be racehorses. Five of the horses are sent back to Morocco, but Sham remains behind to be a kitchen horse. He does not take to this work well, and when Agba is gone one afternoon, Sham causes such a mess that the cook sells him.
Agba searches desperately for Sham, finally finding him pulling water in the streets of Paris. He becomes a slave to Sham's owner and meets Grimalkin the cat along the way.
Sham is bought by a Quaker man and taken to England. He refuses to have the Quaker's nephew ride him and is sold to an inn. When Agba is caught sneaking in to see the horse, he goes to jail. The jailer destroys Sham's pedigree. Fortunately, Agba is bailed out by the Quaker's housekeeper, who is quite fond of him, and Sham is released from his cruel treatment at the inn. The housekeeper finds him a job with the Earl of Godolphin.
The Earl treats Sham as a workhorse, albeit kindly. The true celebrity in the Godolphin stables is the stallion Hobgoblin, whom Sham detests. Lady Roxana, a mate meant for Hobgoblin, arrives, and Sham successfully fights Hobgoblin for her. Lady Roxana enjoys Sham's company, but the Earl is embarrassed by the incident. He sentences Sham, Agba, and Grimalkin to life in Wicken Fen, and they depart.
Two years later, the Earl's Chief Groom comes to see Agba and reveals that Lady Roxana gave birth to Sham's son Lath, who was left alone and untrained due to his skinniness. Lath, however, one day jumped a fence and outran some of the colts that the Earl was training, proving his worth.
The trio come back to Godolphin, and Sham is named the Godolphin Arabian. He has two more foals with Lady Roxana: Cade and Regulus. After the Earl reveals that he is near bankruptcy, they race Sham's sons at Newmarket. They win the races and the Queen's purse, and Agba contemplates his life with Sham.
As a footnote, it is revealed the Godolphin Arabian lived long and had many successful descendants. The Earl left his grave blank, and Agba returned to Morocco. After the Earl's death, the dates and name of the Godolphin Arabian are put on the grave, but time is slowly erasing the words.