Francis DID arrange to have Pee Wee's bike stolen, but let's the thief take it after realizing that Pee Wee will stop at nothing until he recovers the bike. Pee Wee goes to a psychic, who leads him to believe that the bike is in the basement of the Alamo in Texas (as opposed to the Appliace basement of an Almo department store, across the street from her place). Pee Wee goes on said adventure across the States, and eventually gets to the Alamo, where a tour guide tells him, through gasps of laughter, there is no basement at the Alamo.
While trying to get a bus ticket, Pee Wee is confronted by Andy, the jealous boyfriend of a waitress he had a date with earlier. While hiding from him, Pee Wee sneaks into a trailer, where he dresses as a Texas cowboy, and unwillingly gets hoisted onto the back of a bull during a rodeo. After he is thrown from the animal, it goes after Andy, seeing his red shirt.
Pee Wee wakes up later and finds his way to a bar in the desert, owned by a group of motorcyclists who don't take kindly to Pee Wee's manners. While strolling outside, Pee Wee accidentally knocks down all of their bikes (domino style). The guys see this and bring him back into the bar, with the intent of teaching him a lesson, but he does get a last request. The song "Tequila" and Pee Wee's wild dancing earns him an honorary membership, and they give him one of their bikes. As he rides off with no helmet or knowledge of how to ride a motorcycle, Pee Wee crashes into a billboard.
When he wakes up at the hospital, he sees his bike on TV at a television studio in LA. Pee Wee manages to get onto the set dressed as a nun, and finally reclaims his stolen property. After outrunning the security guards on their own bikes, Pee Wee jumps off a ramp to a rural Hollywood street. As he turns a corner, he sees a burning pet shop. Remembering his pet dog back home, Pee Wee saves all the animals, including several small non-venomous snakes that cause him to faint. The firemen and police confront him, and Pee Wee is brought before the CEO of Warner Bros. Pictures., who offers him a movie deal for his story. Pee Wee takes it.
The movie is shown at a Drive-In theatre, and all of Pee Wee's friends from home and on his trip come to see it. Francis happens to be there talking to a reporter played by Phil Hartman (known on Pee Wee's Playhouse as Captain Carl). Francis offers to show him a high tech feature of the bike, and activates the bike's eject seat, which shoots him into the air. Pee Wee and his would-be girlfriend Dottie, ride off together before the movie ends.