Following their adventures in the future, the TARDIS deposits the Doctor and Bill in London in 1814, right during the middle of the Frost Fair. Vendors, entertainers, and revelers pour over the frozen Thames, even as something lurks in the depths...
The Doctor and Bill get dressed for the period and enjoy the festivities, though they notice mysterious lights beneath the ice. A young street urchin steals the Doctor's sonic screwdriver, and they chace after the boy and a girl.
The boy then gets sucked beneath the ice. Bill is horrified at seeing someone die in front of her and is disturbed at the realization that many people have died around or been killed by the Doctor.
They discover that there is an enormous creature beneath the ice in the Thames, and it's been feeding off people who wander off on their own.
Bill and the Doctor then learn that the creature's droppings are being used to power London industry, and the creature is essentially a slave of Lord Sutcliffe, a horrible racist jerk.
Naturally, Sutcliffe soon captures them, but they turn the tables. The Doctor asks Bill to make a choice as to the creature's fate, and she asks the Doctor to free it.
In the ensuing chaos, Sutcliffe dies when the ice cracks under him. Afterwards, the Doctor forges a document to make one of the street urchins into Sutcliffe's supposed long-lost heir.
They return to the present, and Nardole remonstrates the Doctor for not honoring his oath to guard the vault. When Nardole visits the vault, someone or something inside is knocking, but Nardole refuses to open the door.