In 1944, the German Nazis work with Russian mystic Grigori Rasputin on an isolated island off the coast of Scotland to build a dimensional portal. They intend to use it, with Rasputin's help, to awaken the Ogdru Jahad (the Seven Gods of Chaos), monstrous entities that have been imprisoned and asleep since an undisclosed time, to destroy their enemies. But Rasputin secretly intends to use the entities to bring about the destruction of the entire Earth. He is aided by his servant and lover, Ilsa von Haupstein, whom he has granted eternal life, and Nazi Colonel (Sturmbannführer) Karl Ruprecht Kroenen, a notorious assassin. The United States sends a small Army team to destroy the portal, guided by a young doctor, Professor Trevor Bruttenholm, who is well-versed in terms of magic and sorcery. In the ensuing battle, the German scientists and soldiers are killed and the portal is destroyed, killing Rasputin. Ilsa and Kroenen escape capture. As the Army team surveys the ruins for anything that may have sneaked into their dimension through the portal, they discover a bright red infant demon with a right hand seemingly made from stone. Bruttenholm coaxes it into his arms with a Baby Ruth candy bar. They name the little demon "Hellboy."
Sixty years later, a young FBI agent named John Myers is transferred to the Bureau of Paranormal Research & Defense, run by Professor Bruttenholm. He is introduced to Hellboy, now an adult. Also employed with the BPRD is a fish-like person named Abe Sapien who has advanced psychic abilities, and Liz Sherman, a pyrokinetic who has yet to learn to control her firestarting abilities. Liz has recently left the bureau (for the thirteenth time) and checked herself into a mental hospital in an effort to protect others from her talent. Despite regular visits and coaxing from Hellboy, who appears infatuated with her, she is determined not to return.
Meanwhile, Kroenen and Ilsa resurrect Rasputin. Rasputin and his companions travel to New York and the Machen Library of Paranormal Artifacts. There, they open a display and, through magic, release a demon known as Sammael, a hell-hound with a distinct Lovecraftian appearance. Rasputin imbues Sammael with the power to reincarnate and split his essence, causing two of the creatures "eggs" to hatch and mature in seconds each time one dies. Rasputin then visits Liz as she sleeps, reactivating her powers and causing the near-total destruction of the hospital. Afterwards, Myers talks to her, and convinces her to return to the bureau, at least for the short term.
Hellboy with Sammael approaching from behind.
The multiplying Sammael quickly becomes a major problem, as Hellboy repeatedly kills it, creating dozens. Sapien is injured during an attempt to retrieve some of their eggs, and Kroenen kills three of the FBI agents sent with Hellboy. Kroenen, whose ancient body is now run by mechanisms, then shuts himself down and pretends to be defeated just before Hellboy arrives. Kroenen's 'corpse' is brought to the bureau for examination. FBI Director Tom Manning is angered by Hellboy's recklessness, which he feels is indirectly responsible for his agents' deaths. Hellboy gets mad and threatens Manning just as Liz returns, almost causing her to leave again just as quickly. Myers, in an effort to help her overcome her difficulties with Hellboy, takes her out for coffee and to talk. Hellboy, jealous, covertly follows them.
While they are away, Rasputin appears at the bureau, reanimating Kroenen before they confront Professor Bruttenholm. Out of twisted respect for Bruttenholm's protection and nurturing of Hellboy, Rasputin promises him a quick death, but first offers him a vision of the future, showing Hellboy is the agent that has destroyed the world. Rejecting Rasputin's vision of Hellboy's destiny, Bruttenholm is stabbed in the neck and, clutching a rosary, collapses and dies.
Manning takes over the BPRD and, with the help of Hellboy and the others, manages to find Rasputin's physical body located in a mausoleum in an old cemetery outside Moscow, Russia. An enraged Hellboy, with Manning's help, destroys Kroenen once and for all, to avenge the death of his "father", Professor Bruttenholm. Telling Manning to stay back, Hellboy reunites with Liz and Myers at the Sammael's nest to defend them, but the hellhounds overwhelm him. In an effort to help, Liz, with some encouragement from Myers, ignores the fear that has prevented her from unleashing her full potential and uses her pyrokinetic powers to encase herself in blue fire, which she uses to incinerate the army of Sammaels and all the eggs. Unfortunately, this effect renders Hellboy, Liz, and Myers unconscious and they are captured by Rasputin.
To get Hellboy to release the Ogdru Jahad, Rasputin sucks Liz's soul out of her body, telling Hellboy that Liz will come back to life only if he complies. Hellboy, not wanting to lose Liz, awakens his true power as Anung un Rama (the Beast of the Apocalypse), causing his horns to regrow. He nearly releases the Ogdru Jahad, but the injured Myers reminds him of who he is and that he has the right to choose his own path. He snaps off his horns, returning to his former self and resealing the Ogdru Jahad. As Rasputin screams his frustration and disappointment at Hellboy, Hellboy stabs him with one of his broken horns.
However, Rasputin has one last trick up his sleeve: he is possessed by a demon from the Ogdru Jahad. The tentacled Behemoth bursts out of Rasputin's body, grows to immense size, and destroys Rasputin and Ilsa. Hellboy grabs a stone sword from a nearby statue and attacks the Behemoth's tentacles, then allows himself to be swallowed while detonating a belt of live hand grenades. The subsequent explosion shatters Behemoth from inside who dies. Liz's vital signs are gone when Hellboy returns from the fight, but he whispers into her ear, and suddenly her life is restored. When she asks how her soul was returned, Hellboy replies that he simply told the creatures from the other side the cost of taking her: "Hey, you on the other side. Let her go. Because for her I'll cross over, and then you'll be sorry." She and Hellboy kiss as she surrounds them in blue flame, and the narrator, Myers, says that what truly makes a man is "Not how he starts things, but how he decides to end them."
Finally, the film ends with a humorous mid-credits scene, where a forgotten and frightened Manning is lost several levels down in the dank and dim halls of the mausoleum, listening to (maybe) the rustle of footsteps, and looking to see if there's anyone/anything around.