After the Honourable Phryne Fisher solves a country-house jewel robbery in record time, she is asked by Colonel and Mrs. Harper to look into the matter of their daughter in Australia, who they fear may be being poisoned by her husband.

Having grown bored with English social life, Phryne is happy to have an excuse to put off making decisions about her future for the next few months or so, and promptly relocates to Melbourne.

Cocaine Blues opens with a theft at the country house belonging to Phryne Fisher's family, during a dinner party described as the 'social event of the year'.

Following this, Phryne is asked by Colonel Harper and his wife to travel to Australia to determine if their son-in-law, John Andrews, is poisoning their daughter, Lydia.

She is joined on the voyage by Dr. Elizabeth Macmillan, a surgeon on her way to take up a position at the Queen Victoria Hospital, and an old acquaintance of Phryne's from her time serving as the driver of an ambulance unit in France during World War I.

In Melbourne, Phryne meets Cec and Bert, two cab drivers, at the docks, and engages them to drive her to the Windsor Hotel, where she stays for the duration of the novel.

Soon after her arrival, Phryne meets Dorothy 'Dot' Williams and prevents her from committing an assault on her ex-employer's son, who had molested her and had her fired when she rebuffed his advances.

She dances a tango with Sasha De Lisse and later rescues him from thugs after he attempts to independently track down the distributor of cocaine in Melbourne, a person known as the 'King of Snow'.

Meanwhile, Dot, Dr. Macmillan and a local MP are sent an indirect message by Phryne and they alert the police, allowing Inspector Robinson to arrest Lydia as well as the distributors.

Early in the novel Bert and Cec are engaged by a mysterious man to drive a girl to her home, but on taking her in their cab, they discover she is injured and bleeding.