Narrated in the third person by an unnamed limited-omniscient narrator, "Thank You Ma'am" begins with Mrs. Jones walking home at eleven p.m. when Roger, the story's protagonist, tries to steal her purse. The heavy purse throws Roger off balance and he falls down. Mrs. Jones—a large and imposing woman—kicks his bottom and lifts him by his shirt. She asks if he isn't ashamed of himself. He says he is ashamed.
Deducing that he has no one at home, Mrs. Jones decides to take him to her home and make him wash his face. She puts him in a half-nelson neck hold and drags him up the street as he struggles to get away, uncertain what she is doing. At her home, which is a large single room in a rooming house full of other poor people, Mrs. Jones instructs Roger to wash his face using warm water and a towel. She lets go of him and he considers running out the open door. Instead, he does as he is told.
He considers running again after he finishes drying his face. But something about Mrs. Jones's trust disarms him, and he doesn't try to flee. She asks if he was hungry, answering herself that he must have been, since he tried to snatch her purse. But he admits he wanted to buy some blue suede shoes. To this, she surprises him by saying that he could have asked her for the money. She tells him she was also young once and wanted things she could not afford. She has done things she would rather not tell him—or God—about. Roger stands dumbfounded with his mouth open. She knows he expected her to say "but," but she doesn't: she is simply honest about having been in the same situation as him.
Mrs. Jones instructs him to sit down while she heats some lima beans and ham, and makes cocoa. He knows he could leave through the door, and that she can't see him behind the screen that separates off the kitchen. He also sees that she has left her purse on the daybed. But he sits somewhere she will see him in her periphery. He doesn't want her to mistrust him.
During dinner, she doesn't ask the boy anything about where he lives, or his parents, or anything else that would embarrass him. Instead, she tells him about her job in a hotel beauty shop.
After dinner, she gives him ten dollars to buy the shoes he wants, and asks him to behave from then on, and to not snatch anybody's purses. As he goes out the door, the boy tries to say something more than just "thank you ma'am," but he hardly manages to say "thank you" before she closes the door. The story ends with the narrator commenting that the boy never sees her again.
