The story of "Captain Thunder and the Holy Grail" is set during the Third Crusade in Palestine, when Captain Thunder finds in the dungeons of a fortress a dying Christian named Juan de Ribera, who entrustes him the mission to restore to Spain a cup which is the Holy Grail, stolen from an ancient order. Thunder, with his inseparable friends Crispin and Goliath, and a Viking princess named Sigfrid, will face an evil feudal lord and his black "devils", who are terrorizing the population of low Aragón.