After losing the Battle of Actium, a vanquished Mark Antony barricades himself with Cleopatra in their palace in Alexandria. The palace becomes a place of never-ending orgies as Mark Antony and Cleopatra drug and drink themselves into stupor. Octavian sends an emissary to Mark Antony, with a secret message to Lucius Vorenus in an attempt to avoid a direct assault on the palace which might lead to a popular uprising. It is made clear that Titus Pullo is aware that Caesarion is his son and that Vorenus also knows this. Mark Antony refuses Octavian's offer of unconditional surrender and challenges Octavian to single combat. Vorenus also refuses to betray Mark Antony. Practice with Vorenus and then with an emasculated courtier shows how much Mark Antony's physical condition has deteriorated alongside his mental condition.
Octavian refuses the challenge as barbaric and secretly sends word to Cleopatra offering her the chance to keep the crown of Egypt and save the lives of her children if she gives up Mark Antony. She tricks Mark Antony into believing that she has committed suicide. Vorenus assists in Antony's suicide at his request. Vorenus, shocked to find Cleopatra still alive, tells her that Octavian will keep Mark Antony's children alive as a popular gesture of mercy but will almost certainly kill Caesarion as a potential rival to the rule of Rome; he also reveals his plans to escape with Caesarion in an attempt to keep him alive. It is made clear that Cleopatra knows that Caesarion is actually Titus Pullo's son.
Upon meeting Octavian and failing to seduce him as she had Mark Antony, Cleopatra realizes that he wishes to take her kingdom and parade her, alive but in chains, in Rome at his triumph. She commits suicide by clasping an asp to her breast, and as Octavian's soldiers storm her throne room, she dies, telling Octavian with her final breaths, "You have a rotten soul".
Vorenus has meanwhile escaped the palace with Caesarion and Titus Pullo is charged by Octavian with finding and killing Caesarion. Vorenus and Pullo meet near where they had previously saved Cleopatra's life in the first season and they discuss plans to escape Egypt. Their escape is thwarted at a Roman roadblock when Caesarion speaks in the manner of the Egyptian court. Although they manage to fight their way out, Vorenus is seriously (perhaps mortally) wounded. He demands that Titus Pullo take him to Rome to die.
In Rome, Octavian arrives at his mother's house, bringing with him Cleopatra and Mark Antony's twin children, Cleopatra Selene and Alexander Helios who he asks Octavia to take under her care. Atia takes the news of Antony's death with satisfaction, but takes little pleasure in her son's success in at last gaining supreme power; Octavia is disturbed by Atia's mood.
After a month-long journey, a badly injured Vorenus and Pullo return to Rome for an emotional reunion at the Collegium. On his sickbed, Vorenus is reconciled with his grieving children. Series creator Bruno Heller later revealed that Vorenus did not die after this scene.
At the same time, Octavian's triumph is taking place. As Livia and Octavia are about to enter a podium in the Forum, late arrival Atia takes the lead, calling Livia a "vicious little trollop," and says, "You're swearing now that some day you will destroy me, but remember that far better women than you have sworn to do the same. Go look for them now." Atia's look, however, is ambiguous as she watches a triumphal float pass by with the effigies of Mark Anthony and Cleopatra, her lost love and his seducer, as glances are exchanged between Agrippa and Octavia.
Pullo lies to Octavian about the fate of Caesarion and is rewarded. He also tells him that Vorenus has succumbed to his wounds without giving details on how they were inflicted. Leaving Octavian's palace, he meets Caesarion who begins swearing revenge in his wish to claim his rightful throne as Caesar's heir, "redeeming my father's name!"
The series ends with the pair disappearing into a crowded Roman street as Titus Pullo puts his arm around Caesarion and says "Listen, about your father..."