The structure of the episode is similar to the structure of the Treehouse of Horror episodes, only that it is divided in four stories instead of three.
Bart stays up late on Christmas Eve to kill Santa Claus for not bringing him a dirt bike three Christmases ago. He eventually falls asleep and dreams that the Polar Express, driven by Otto Mann, lands in front of the house and flies him to the North Pole. Bart meets Santa (Krusty the Clown) only to find out that he has run out of money, since giving out presents in return for cookies every year is not a sustainable business model. Feeling pity, Bart decides that Santa no longer has to give him a dirt bike and leaves with Santa throwing a party in his office after revealing how stupid kids are.
Lisa dreams that it is December 1944 and that Marge is a soldier in World War II. Due to Marge being taken suddenly for overseas deployment while buying a Christmas tree the previous year, Lisa has sworn to never see another Christmas tree until Marge returns home safely. However, during Christmas of 1944, the family gets a telegram saying that Marge is missing in action. After hearing the news, Lisa runs away to the place where she had last seen her mother, the Christmas Tree Farm. The owner of the place says that Marge paid for a tree the previous year but never picked it up. Lisa, believing the tree to be a symbol that Marge is alright, takes it home and decorates it together with Homer and Bart. Marge is then seen assassinating Adolf Hitler with an MP40 in a movie theater in France as he watches a propaganda film. When she walks away from the scene, the theater explodes behind her.
Marge dreams that she has sent a letter to Martha Stewart asking for her to help save the family's Christmas. Martha promptly arrives and fills the house with the Christmas decorations Marge has always dreamed of, but the other family members end up as part of the decorations instead of being able to enjoy the holiday with her. Marge quickly realizes that it is Homer and the children that make Christmas special for her, so Martha gets rid of all the decorations with a magic wand. Marge then wakes up on Christmas Day to find that her family has brought her the ingredients for breakfast in bed. Their attempts to cook it go awry, so they go out for breakfast instead.
Maggie dreams that the entire family has become puppets in a theater. As the Simpsons prepare for a trip to Hawaii and ask Moe to house-sit for them, Homer's boss Mr. Burns pays a surprise visit. He soon learns that Homer has feigned a neck injury to get time off work for the trip and calls his attack hounds on him. However, only one arrives (represented by a crude sock puppet), since the show has spent its budget on Katy Perry, who appears as herself and Moe's girlfriend. Noticing that Burns is disappointed by the lack of his attack hounds, Katy gives him a kiss. Touched by this, Burns decides to forgive the Simpsons and allows them to enjoy their trip in Hawaii, and then everyone sings a parody of "Twelve Days of Christmas" which plays during the credits. At the end of the credits, Moe attempts to kiss Katy but is not tall enough to reach her mouth, so he instead opts to kiss her bellybutton through her dress. Katy retorts that he is not kissing her bellybutton, meaning that he is actually kissing her vulva, but also says she does not want Moe to stop.