The story is set in the 1960s. Norwegian engineers are searching for oil and our main character, Egon Olsen, convinces his friends to buy stocks in the oil market In the process, Egon, stumbles upon a scheme to fool the Norwegian Government that there is indeed no traces of oil in the North Sea. The Olsen Gang tries to tell the ministry the truth about the oil but they are caught by the bad guy, Sheik El-Altan, who in order to make sure the boys keep their mouths shut, kidnaps, Valborg, and brings her to Egypt. Egon and his two friends decide to rescue Valborg and embark upon an adventurous trip to Egypt and the Pyramids.