In the first season, he is introduced as an officer, and is a supporting figure in the solving of the case involving Lorne Malvo (Billy Bob Thornton) and Lester Nygaard (Martin Freeman).
After Chief Vern Thurman (Shawn Doyle) and Lester Nygaard's (Martin Freeman) wife is murdered, Gus Grimly pulls Lorne Malvo (Billy Bob Thornton) over for speeding.
Much later, after his daughter told him she would always opt for the right thing no matter what, Gus finally tells his angry superior that he let Malvo off with a warning for speeding, and he is sent to Bemidji to inform their police department.
A year passes, and Gus Grimly, now a mailman, is happily married to Molly Solverson as they eagerly await their first child's birth.
After having questioned him and his second wife at their home, she is informed by the precinct that two FBI agents from Fargo field office want to meet her about the massacre committed there a year ago.
When the police arrive, they find Malvo's trove of audio tapes, including the one containing Lester's confession for the murder of his first wife.
Two weeks later, Lester, now the subject of a manhunt after his murder of Pearl has been revealed, is shown on a snowmobile in Glacier National Park.
Desperate, he continues on foot, only to crash through thin ice, presumably meeting his end, and revealing that the scene shown at the beginning of the episode depicted Lester's fate.