In That Hemsley Affair, the story unfolds on a foggy night in the village of Hemsley, where Sarah Bolton anxiously awaits the return of her sister Enid and their boarder, Mr. Pembroke. The atmosphere is thick with tension as Constable Howard warns Sarah about a wounded bandit who has just committed a robbery in London and is believed to be hiding nearby. As the constable departs, Sarah's apprehension grows, especially when she hears the distant baying of dogs, signaling the search for the criminal.