"At Shaston" opens with a description of the town itself, which is small and notoriously hedonistic. As Jude visits Sue, the two sing hymns on the piano that had belonged to Phillotson at Marygreen. The music touches their hearts; they grasp their hands. A discussion of religious beliefs is resumed. Jude wants to study the New Testament more thoroughly. She suggests he check out Cowper's Apocryphal Gospels. Sue also tells Jude that she is unhappy in her marriage. After leaving Shaston for Melchester, Jude looks in on Sue and Phillotson from their window before heading out.

Sue writes to Jude in Chapter II, warning him not to return since their flirtation threatens her marriage. After Jude's Aunt Drusilla passes away, he and Sue finally meet again during her funeral. Sue tells Jude that she is unhappy in her marriage. He lets her know that he intends to visit Arabella once again. They embrace as she laments her predicament further.

When Sue prepares to go for Shaston in Chapter III, she kisses Jude farewell. They have never kissed before, but this one counts. Starting recently, she has been relocating to a different area of the home. Jude discards his religious texts by destroying them in a bonfire. After discussing the matter with him, Sue arrives home and informs Phillotson that she wants to move in with Jude. For example, she cites John Stuart Mill, to which Phillotson responds, "What do I care about Mill?" The next day at school, they write one other notes in which they corroborate their previous conversations: Sue wants to leave him, and he regrets it but agrees to give it some more thought.

To begin Chapter IV, Phillotson learns that Sue has jumped out of a second-story window, narrowly missing the ground below. Phillotson considers letting Sue go, but his friend Gillingham visits him the following evening to tell him he is nuts. Yet when he gets back to the house, he lets Sue know that she has the option of leaving.

Sue joins Jude in Chapter VI, and they ultimately decide to relocate to Aldbrickham to avoid public disgrace. However, some itinerants and Gillingham stand by him. In Chapter VII, Phillotson is involved in just such a scandal. The community sacks and shuns Phillotson once the school principal learns that he did nothing to stop Sue from leaving. When he gets sick, Sue goes to check on him. But Phillotson makes no effort to win her back.