Siri Brodal, a chef and restaurant owner, is married to Jon Dreyer, a famous novelist plagued by writer's block. Siri and Jon have two daughters, and together they spend their summers on the coast of Norway, in a mansion belonging to Jenny Brodal, Siri's stylish and unforgiving mother.

Siri and Jon's marriage is loving but difficult and troubled by painful secrets. They have a strained relationship with their elder daughter, Alma, who struggles to find her place in the family constellation. When Milla is hired as a nanny to allow Siri to work her long hours at the restaurant and Jon to supposedly meet the deadline on his book, life in the idyllic summer community takes a dire turn. One rainy July night, Milla disappears without a trace. After her remains are discovered and a suspect is identified, everyone who had any connection with her feels implicated in her tragedy and haunted by what they could have done to prevent it.

The Cold Song is a story about telling stories and about how life is continually invented and reinvented.