During an encounter with a group of Gentlemen Thieves, the ace detective group Milky Holmes suddenly lose their Toys, which give them special abilities. A month later, they have since descended to being the worst student at Sherlock Holmes' Detective Academy. The Gentlemen Thief leader, Arsene, masquerading as the Student Council President, moves Milky Holmes into a less luxurious lifestyle inside an attic and gives them three months to recover their toys before they are expelled.

As the Gentlemen Thieves continue their crime spree, Milky Holmes are having trouble adjusting to the poorer life. Cordelia Glauca tries to convince everyone to be friends, but inadvertently makes things worse. Everyone's mood soon livens up when Sherlock Shellingford finds a stray kitten, naming it Kamaboko. When Kamaboko starts pilfering bread from the cafeteria, Milky Holmes are accused of stealing it. Wanting to protect the kitten, Cordelia takes the blame. In order to save Cordelia from expulsion, Milky Holmes investigate the crime scene, finding the true culprit and the reason Cordelia protected him. Learning the truth, Henriette revokes the expulsion and allows them to keep the cat.

When Milky Holmes go to assist the guarding of a statue targeted by the Gentlemen Thieves, they are teased by the anti-Gentlemen-Thief force, G4, with false promises of getting their toys back. When Hercule "Elly" Barton fails the ridiculous ritual set by the G4 leader, Kokoro Akechi, Nero Yuzurizaki gets angry at her. When Arséne steals a fake statue, G4 try to follow them with a tracking device, but Milky Holmes accidentally breaks their computer when Cordelia gets scared. Still sad about earlier, Elly runs off so the others go look for her at the museum, where they run into the thieves who are trying to find the real statue. During the fight, Cordelia and Twenty get trapped in a sarcophagus, but the embarrassing noises temporarily gives Elly her toy back allowing her to get them out.

Milky Holmes and G4 are informed about a girl named Irene Doala who went missing in the Yokohama woods. While searching for her, Sherlock and Kokoro become separated from their respective groups, winding up in a cave along with Irene. Irene explains she got lost while finding a treasure chest so she can stop her father's company from going bankrupt. When a bear attacks them on their journey back, Sherlock makes several failed attempts to rescue them only be coincidentally saved by an unexploded bomb. They are later found by G4 and returned home.

The Princess of Marlo, Claris, who bears a striking resemblance to Sherlock, doesn't want to get married to a prince in order to support their country. Wanting to be a normal girl, she runs off and finds Sherlock and offers to trade lives with her for a day. While Claris hangs out with the rest of Milky Holmes, Sherlock spends the day with her prince-to-be, Pero, who is a masochist with a catgirl maid fetish. As Claris contemplates staying in this new life, her identity is discovered by Henriette, who tells her to stop running away from her troubles. Getting the help of Milky Holmes, Claris gets to the church before Sherlock gets wed to Pero, revealing she will reach her dreams with her own hands. Pero reveals he had been trying to get her to put off the marriage, as he was in love with her grandmother, who he marries, connecting the two countries after all.

Milky Holmes, along with Genius 4 visit a beach where it is rumored Baskerville hid his various treasures and researched a way to retrieve lost Toys. As the Gentlemen Thieves were also there planning to rob the place, Arséne joins them as Henriette. When it starts raining, they take shelter in a cave and decide to explore it, but get separated when they trigger some traps. After getting separated by a couple more traps, Sherlock and Nero learn what could possibly be the solution to regaining their Toys. However, they only end up finding a bunch of dolls in a vault which triggers another trap which fills the manor with cold water. With encouragement from Sherlock, Nero manages to get temporary control of her Toys, which heats up the water to hot spring temperature and reunites them with the others.

After being tricked by Kokoro with more false hopes of retrieving their Toys, Milky Holmes end up catching colds. Henriette spends the night nursing them back to help and ends up catching a cold herself. Milky Holmes decide to help nurse her back to health, and upon changing her clothes find her Arséne disguise, though they quickly pass it off as cosplay. Sherlock gives Henriette a rather dubious medicine that causes her Toys to go berserk, trapping everyone within a strange Momotaro-inspired illusion.

One night, Nezu is attacked, leaving behind a 'dying message' supposedly saying 'M.H.', which leads Milky Holmes to become murder suspects, with Henriette giving them until the next morning to prove themselves innocent. When Milky Holmes seek wisdom from a Ouija board they found, a bright light shines and Cordelia, Nero and Elly are possessed by the spirits of their ancestors, Cordelia Gray, Nero Wolfe and Hercule Poirot, who were supposedly trapped within the Ouija board. However, their takes on their case aren't particularly helpful. Sherlock is then possessed by Sherlock Holmes, who identifies the culprit as Sherlock's kohai, Sonia. She attempts to escape but is stopped by Holmes and Rat, who had only been playing dead. The detectives soon take their leave, leaving behind a message for Milky Holmes saying their toys will return after a great trial, while Sonia is transferred to another academy.

An exam is coming up, but Milky Holmes don't study for it since they assume their Toys will come back, resulting in complete failure. They then hear about a robbery by Arséne, assuming it is the trial Holmes mentioned, only to find Stone River, Twenty and Rat fighting amongst themselves. When the thieves turn their attention towards Milky Holmes, they are beaten easily due to their Toys not working, forcing Kokoro to rescue them from an explosion. Henriette becomes frustrated at Milky Holmes' lack of progress and sets fire to their attic, declaring them expelled from Holmes Academy.

As Milky Holmes go their separate ways, Henriette becomes furious with disappointment and goes on a crime spree as Arséne. G4 briefly visit Sherlock, working at a ramen shop, before heading off to face Arséne. As Sherlock visits the other girls, Henriette hosts a broadcast saying Arséne has kidnapped her, willingly putting herself into a trap over Yokohama Gorge which could send her to her death. When G4 are defeated by the Gentlemen Thieves, Sherlock gathers together Milky Holmes and are given a ride by Irene to the gorge. While the others hold the thieves back, Sherlock dives after Henriette as she falls, which activates her Toys, along with the others. However, Henriette than changes into Arséne, revealing a plan she has wanted to fight against Sherlock at her true potential.

With their Toys returned, Milky Holmes battles against Arséne, who uses her illusion Toys at their full potential, producing tangible illusions, culminating in a battle in the outer atmosphere. However, after running into her cleavage, Sherlock realizes Arséne is actually Henriette, though they appear to forget this upon crashing back down to Earth. Arséne decides to retreat and 'return' Henriette. Milky Holmes are thanked for their rescue of Henriette, only to discover their Toys have also disappeared as a result of the impact. However, Henriette postpones their expulsion and refurbishes their attic room, where they soon introduced to a transfer student named Mori Arty.