Henrietta and Jane are growing up in a farmhouse on the outskirts of town, their mother a remote artist, their father in thrall to the folklore and legend of their corner of New England. When Henrietta falls under the spell of Kaus, an outsider and petty criminal, Jane takes to trailing the couple, spying on their trysts, until one night, Henrietta vanishes into the Woods.

Elspeth and Claire are sisters separated by an ocean. Elspeth's pregnancy at seventeen meant she was quickly married and sent away from her Scottish village to make a new life in America. When she comes to the attention of the local mill owner, a series of wrenching and violent events unfolds, culminating in her disappearance.

As Jane and Claire search in their own times for their missing sisters, each uncovers the strange legend of Cold Thursday, and of a family apparently transformed into coyotes. But what does his myth really mean? Are their sisters dead, destroyed by the men who desired them? Or have they made new lives, elsewhere, beyond the watchful eyes of the community they longed to escape?