Early one morning, Martha flees from an abusive cult in the Catskill Mountains led by an enigmatic leader, Patrick. She phones her sister Lucy, eventually asking for her help. Lucy picks up Martha at a nearby bus station and takes her to a lake house in Connecticut which Lucy shares with her husband, Ted. Martha tells Lucy only that she had been living with her boyfriend in the Catskills, leaving out all mention of the cult. During the following days, Martha continues to exhibit unusual behavior, with little regard for the commonly accepted societal boundaries of American culture.
In a flashback, Martha is seen meeting Patrick for the first time. He declares that she "looks like a Marcy May." It is explained to Martha that the group is working toward being self-sufficient on their farm. Later, Martha awakens in the middle of being raped by Patrick, and afterward another woman assures her that she was "lucky" to have Patrick as her first sex partner. Later, he sings Jackson C. Frank's song "Marcy's Song" in front of the group, and now addresses Martha as Marcy May. The cult members are shown swimming naked together at a waterfall.
At the lake house, Martha walks into Lucy and Ted's room while they are having sex and gets into bed with them. A horrified Lucy explains that this is not "normal" behavior, and Ted is furious about the incident. Martha continues to struggle with the return to her old life.
In another flashback to her time on the farm, Martha introduces a new girl, Sarah, to life on the farm. She explains that they all help out with Katie and Patrick's baby. When Sarah comments that all the infants in the community are boys, Martha ominously replies that "he only has boys". Martha later prepares Sarah for her "special night" with Patrick, presumably the same ritual of rape that Martha experienced. The preparation includes drinking a drugged drink.
During another flashback while teaching Martha to shoot, Patrick asks her to kill a sick cat to prove that she is "a teacher and a leader," but she refuses. He then asks her to shoot another cult member; she refuses to do this as well. One night, Martha, Watts, and Zoe break into a house and steal valuables. In another scene, several cult members have sex in one room while Patrick watches from a stairway.
In the present, Martha becomes increasingly paranoid that the cult is watching her. Lucy continues to struggle to understand what has happened to Martha. Ted suggests they seek help for Martha, telling Lucy that she needs to be moved to a mental health facility.
In a flashback, Martha, Watts, and Zoe break into another house but are found by the owner. They start to leave, but Patrick appears and confronts the owner, questioning whether he will call the police. The man orders the group out and promises not to call the police, but the elder female member of the group, Katie, stabs him in the back. They quickly leave, with Martha clearly in shock. Martha is later shown answering the phone, using the name "Marlene Lewis" â a name that all the women use on the phone to conceal their identities. Martha struggles in the aftermath of the attack, and Patrick tries to convince her that death is actually a good thing.
After a nightmare at the lake house, Martha attacks Ted in her confusion. This leads Lucy to confront Martha, making it clear she must leave and informing her that they will pay for her treatment. Martha coldly states that Lucy will be a "terrible mother."
The next morning, Martha goes swimming in the lake and sees a man watching her from the opposite shore. Ted and Lucy then drive Martha to her treatment facility when the same man from the lake runs in front of Ted's car. He gets into a car parked on the side of the road and appears to follow them. Martha nervously looks back as they drive on, but doesn't say anything.

Question: Where does Lucy believe Martha has been?
Answer: In the Catskills with her boyfriend.