Ditempatkan pada hujung kurun kelapanbelas, The Duchess berasaskan hidup Georgiana Cavendish, Duchess dari Devonshire. Kecantikannya dan karisma membuat namanya, citarasa extravagant dan appetite for gambling and love made her infamous. Married young to the older, distant Duke of Devonshire, who was blatantly unfaithful, Georgiana became a fashion icon, a doting mother, a shrewd political operator, intimate of ministers and princes, and darling of the common people. But at the core of the story is a desperate search for love. The film delves into Georgiana’s passionate and doomed affair with Earl Grey, the future Prime Minister, and the complex love triangle with her husband and her best friend, Lady Bess Foster.

The film depicts Georgiana's tragic life story, with particular emphasis on her relationship with Charles Grey. At the start of the movie, the Duchess and her friends are betting on which of their young male friends will win a race. The young mens' names are put into a hat, and Georgiana picks Charles' name. When he wins the race, Georgiana is delighted, and he asks for his reward. She in turn asks him what he thinks it should be, when they are interrupted by a maid, telling Georgiana that she is summoned by her mother.

Lady Spencer announces that Georgiana is to be married to the Duke of Devonshire, who we later see is extremely unfaithful and a harsh, exacting hypocrite. Nevertheless, Georgiana strives to meet his standards and please him, but when, after six years, she does not produce a single male heir, only two daughters, his bitterness and resentment grows, even when she raises Charlotte, an illegitimate daughter of his, as if she were her own. It is around that time that Georgiana meets Lady Elizabeth; after seeing her husband talking to Lady Elizabeth at a party and suspecting that something is going on between them. However, Elizabeth reveals that there is nothing between her and the Duke, and, surprisingly, the two women soon became extremely close friends. Elizabeth tells Georgiana that she has nowhere to stay and so the latter offers her a room at their house. Elizabeth, or 'Bess' soon becomes a permanent fixture in the Devonshire household.

One night, when the Duke, Georgiana and Bess are attending a play, Georgiana spies her old friend, Charles Grey and asks him how he found the play. When he does not show much enthusiasm, and she reminds him that it is supposed to be a comedy, and that she hopes that he has not lost his sense of humour after going into politics, he looks deep into Georgiana's eyes and says that it looked more like a tragedy to him. This is of particular significance to Georgiana, as the play is about a beautiful young girl who marries a much older, disgruntled man who only seeks a male heir, which echoes perfectly Georgiana's predicament. Indeed, the playwright remarks to her that he had been thinking of titling the play 'The Bad Marriage', and it becomes obvious that the play was inspired by Georgiana and the Duke's marriage. Accordingly, Georgiana looks into Charles' eyes and we see the same passion and emotion we saw at the beginning of the film, when they were both young and free. Later that evening, Georgiana is in Bess's room. Bess tells Georgiana that Charles Grey was in love with her, but Georgiana doesn't believe her.

Georgiana and Charles continue to talk whenever they meet. At one of these meetings, he tells her that the campaign for his political party is not going well at all, to which she replies that she has many faults, not least of them being her ability to draw attention, and then tells him that she will use that to their advantage.

And so, with Georgiana's help, Charles makes a speech to a huge crowd, who then cheer for him wholeheartedly, while Georgiana looks on in a wonder bordering on adoration. After he has made his speech, the two go inside to talk and he asks her what she thought of his speech. She says that it was a 'marvel', and the conversation soon switches to their feelings for each other. When asked if he thinks about her when they are not together, he replies that he does, all the time, and that he always has. At that exact moment, someone informs Georgiana that her carriage is ready, interrupting the intimate moment.

Georgiana returns home light-hearted, but her happy mood is soon quashed by the revelation that the Duke has been having an affair with Bess. Although he has had many affairs before, of which Georgiana has been, to an extent, indifferent, she is enraged that he should have an affair with her best friend, the 'sole comfort in their marriage', and a heated argument ensues. Georgiana insists that Elizabeth leave the house at once, but the Duke flatly refuses.

Soon, growing restless that she is forced to live with her husband's mistress and former best friend, Georgiana proposes a deal with her husband. Georgiana will give her blessings for Bess to continue carrying on with the Duke, if the Duke will accept Georgiana's romantic feelings for Grey. Enraged, the Duke chases and corners Georgiana in her bedroom, where he proceeds to rape her. The entire household is forced to bear Georgiana's screams, and when it is finally over, the Duke demands a son from his wife.

Trapped in her own life, the Duchess forgets her usual manners, and one evening, at a party, becomes so intoxicated that she accidentally sets her wig on fire, embarrassing her husband before other members of the court. Soon after, The Duke discovers Georgiana is pregnant, and not long after, she gives birth to a healthy son, William Cavendish, 6th Duke of Devonshire.

In the midst of all this pain and betrayal, it is Charles Grey to whom Georgiana turns. They both go to Bath and start living together, with Bess encouraging Georgiana to enjoy her lover. But soon the Duke discovers the romance and comes to take back his wife, threatening her with the loss of her children forever, and with destroying Grey's career. Georgiana refuses to go at first, but upon reading letters from her children, Georgiana returns home, prepared to endure the Duke for the sake of her children. Grey seeks her out, making a loud scene at her front door. She tries to explain her situation, that she still loves him but she will not abandon her children. She informs him there is nothing that will change her mind.

After she leaves Grey in the foyer, Georgiana reveals to her husband and Bess that she is pregnant with Grey's child. The Duke arranges for the child to be born in secret and given to Grey's family to raise, thereby avoiding a scandal. Bess accompanies Georgiana to the country, where Georgiana will stay during the pregnancy and delivery. Soon after the birth, Georgiana is forced to surrender her new born baby girl, Eliza, to the Grey family. Georgiana returns home, and, surprisingly, The Duke attempts to comfort his wife by taking her to a party where Grey is sure to attend. Grey and Georgiana meet, and discuss where Georgiana has been. She states she has been travelling for the last year. At this, Grey informs her that he has a new niece, a beautiful girl named Eliza, Grey then tells Georgina he is soon to be engaged. They part with humble goodbyes.

Georgiana returns to her life with her husband, Bess, and her children, with secret visits to her daughter. She remains at Chatsworth with the Duke and Bess and their children, until her death. After her death, the viewer is told, the Duke marries Bess with Georgiana's blessing and Eliza names her daughter Georgiana. Grey goes on to become Prime Minister.