Lisa develops the blues, which is noticeable to the people around her. She has a note sent home from Springfield Elementary, but her parents cannot cheer her up. That night, she hears jazz music in the distance, and sneaks out to follow it, to discover that it is being played by Bleeding Gums Murphy. He teaches her how to express her sadness on the saxophone, and she is happier again.
The episode starts with a sad Lisa staring at herself in the mirror in the bathroom while Homer pounds on the door waiting for his turn. Later in the kitchen before work Homer searches for his keys, while Bart and Lisa eat breakfast before school. Lisa finds the keys still in the front door. Marge only has two cupcakes for Homer, Bart and Lisa; Lisa defers the cupcakes to Homer and Bart, she is clearly depressed. During band practice at school the band plays terrible while Lisa jams away expertly with her saxophone much to the dislike of the band teacher Mr. Largo. At lunch during a food fight Lisa does nothing but sit and look sad. During gym class while playing dodge ball Lisa doesn’t move and gets pummeled by dodge balls, all while looking sad. After school in the living room Bart and Homer play a boxing video game called Super Slugfest. Homer suffers his 49th loss at the hands of Bart while Marge walks and shows Homer a note from school about Lisa.
The note is a progress report from Principal Skinner informing Homer and Marge that Lisa was too sad to play dodge ball at school. Homer attempts to discover the cause of Lisa’s sadness and Lisa tells Homer she wonders if the world would be any different if she didn’t exist. When Homer clearly can’t come up with a good quick answer Marge tells Lisa to take a hot bath and Homer tells Bart to vacuum the floor. When Lisa is done with her bath she walks into the living room where Bart is still vacuuming and is not happy about it. Maggie sits by herself on the couch watching Bart and Lisa. In an effort to see who Maggie likes more both Bart and Lisa coax her to each other, instead Maggie chooses the TV. Later Homer and Bart are playing Super Slugfest again where Bart easily wins again, Homer blames the loss on Lisa’s loud saxophone playing. Homer goes up to Lisa’s room to yell at her. Lisa agrees to just practice on playing the notes without blowing into the saxophone. After Homer leaves the room, Lisa hears a saxophone playing off in the distance outside her window and leaves the house to go find the source. Lisa walks through the town at nighttime and discovers a man playing a saxophone alone on a bridge overpass. Back at the Simpson house everyone is asleep and Marge dreams about her childhood. In the dream Marge is a sad little girl and before going out to play her mother tells her to make sure she smiles. Homer also has a dream that he is trapped inside the boxing video game with Bart. Bart K.O.’s Homer and he wakes up screaming from his nightmare. Marge expresses her concern with Lisa’s sadness to Homer. Meanwhile Lisa is jamming with the man who introduces himself as Bleeding Gums Murphy. Lisa and Bleeding Gums play the blues together, and he tells Lisa he plays at a club called the Jazz Hole when a worried Marge, after realizing Lisa is gone, shows up to bring her home.
Homer watches a news report in the living room when he discovers Barney’s Bowlarama has burned down. He runs in the kitchen to tell Marge the bad news, but Marge is fretting over Lisa. Bart enters the kitchen and Marge tells him to go find Lisa and act nice to her and cheer her up. Bart goes and finds Lisa and in an effort to cheer her up he plays a prank phone call on Moe, Lisa is not amused. Cut to Homer walking into the local video arcade. Homer seeks advice on Super Slugfest from Howard, a cocky young expert at the arcade. After some time Homer feels he has learned enough tricks to defeat Bart. Howard and Homer are then confronted by Howard's mother who scolds Howard for spending too much time in the arcade, and then scolding Homer for being in an arcade.
Meanwhile Marge takes Lisa to band practice, and on the way Marge tells Lisa to smile and keep her true feelings inside so she can fit in with the other kids, telling her that is the way to become happy again. Marge drops off Lisa in front of the school and observes Lisa fake smiling and interacting with the other kids. Marge sees some boys make fun of Lisa as she smiles her way through it, much to her horror. Mr. Largo comes out of the school to gather the children in for practice and tells Lisa he hopes he doesn’t hear any more creativity from her again today. This makes Marge realize the error of her ways and she quickly does a tire squealing u-turn, snatches Lisa and drives away. In the car Marge apologizes and tells Lisa it is okay to be sad and that she should always be herself no matter what, promising she'll always have family around to help her. Marge then tells Lisa she can stop smiling, but this time the smile (thanks to Marge's support) is genuine.
Back at the house, Bart and Homer are playing Super Slugfest again and this time Homer puts Bart on the ropes and dominates the fight. Marge walks in to make announcement and Homer is too busy winning to listen. Much to Homer’s dismay Marge pulls the plug on the video game to gain his attention. Bart announces that he has retired from the world of video game boxing undefeated (much to Homer's dismay). Marge then tells the family that Lisa has a fun idea for everyone. Cut to the club, The Jazz Hole, where the family listens to Bleeding Gums play a blues song written by Lisa.
Bleeding Gums Murphy plays a saxophone solo while the credits roll over a nighttime shot of a Springfield street corner that contains the Jazz Hole building. This is the second time the credits are special, the first was the Christmas special.