"The Ballad of Lady Frances" is one of those mysteries where nothing is initially what it appears to be. When an experimental new monitoring device captures the murder and torture of a construction worker refusing to give up the location of Frances, Holmes (Jonny Lee Miller) and Watson (Lucy Liu) begin scouring the man for a woman in his life who may also be in danger. What they uncover instead is a missing guitar worth millions that it's owner (Meat Loaf) is willing to kill to get back. Further investigation into the crime uncovers corruption within the city's new surveillance system and the motive for a second, far more expensive, murder.
While not one of the series' stronger mysteries, the twists of the week work to keep Holmes and Watson on their toes. The B-story shifts back to Shinwell (Nelsan Ellis), his training, a drive-by shooting, and an investigation by Sherlock that leads to a troubling discovery about Joan's protege. The episode ends on a cliffhanger with Holmes undecided about what to do with this information which could put an immediate end to Shinwell's undercover operation.