Gonzo has always been identified as a "whatever"; but, after having disturbing dreams of abandonment and rejection, he begins to realize just how alone he is in the world. One of his nightmares involves his being denied entry by Noah onto his boat. The next morning, Gonzo tells Kermit that he is getting tired of being referred to as a "whatever." After an alien race appears to be trying to send him a strange mysterious message through his bowl of cereal, Gonzo realizes that he may not be so alone after all and later that evening, he climbs to the rooftop to watch the sky. Suddenly, he is struck by a bolt of lightning, which allows him to communicate with a pair of cosmic knowledge fish, who reveal his origins as an alien from outer space.
Unable to convince Kermit and his friends of the aliens' existence, Gonzo is lured by Agent Barker into the clutches of K. Edgar Singer of C.O.V.N.E.T., a government organization disguised as a cement factory. Singer is aware of the aliens' attempts to communicate and thinks that Gonzo is the key to convincing his superiors that aliens do exist. Gonzo and Rizzo are taken to C.O.V.N.E.T. by Agent Barker. Rizzo's antics cause himself to be flushed down a tube by wrestling legend Hulk Hogan and ends up having to go through C.O.V.N.E.T.'s rat training and medical research held by Dr. Tucker, alongside other Muppet rats. After Miss Piggy interrogates Barker, she, Kermit, Fozzie, Pepe, and Animal go to rescue Gonzo and Rizzo from C.O.V.N.E.T., using inventions from Bunsen and Beaker such as a door in a jar, a rubber duck that emits temporary invisibility spray, and mind control gas.
An alien channeling his voice through a sandwich asks Gonzo where the alien ship can land, and Gonzo suggests a beach known by the name of Cape Doom, unaware that Singer's assistant Agent Rentro (Bobo the Bear) is listening. The gang arrives at the military base to rescue Gonzo and Rizzo. They use the invisibility spray to enter but when Fozzie washes his hands upon exiting a restroom it wears off, attracting the attention of a female guard who Animal chases away. Meanwhile, Rizzo frees Gonzo from the dissection table while the other rats attack Dr. Phil Van Neuter, which is witnessed by Singer and General Luft. Luft feels that his time has been wasted and leaves angry. Upon discovering from Rentro that Gonzo is heading for Cape Doom, Singer prepares the Subatomic Neutro-Destabilizer to use on the aliens. Rentro tells Singer that his car has been impounded because of unpaid parking tickets; they use the company car—a cement truck.
The Muppets rescue Gonzo then go to Cape Doom where a crowd of alien-happy spectators await their arrival. The ship comes to Earth and the aliens, who all resemble Gonzo, explain that many years ago they lost him but now welcome him back into the fold. Singer shows up and tries to kill the aliens, ultimately failing to do so (Rentro removed the Subatomic Neutro-Destabilizer's battery) and is laughed at. Gonzo considers going into space with his long-lost family but chooses to stay with his fellow Muppet Show cast-mates. Singer is invited by the aliens to go with them and leaves as Earth's ambassador.
As the Muppets are watching the stars from the roof, Gonzo tells Kermit he wonders why his family asked him to build a Jacuzzi. Pepe chuckles, because he and Rizzo had pretended to be them and asked him to do it.
