Shivaay is a dramatic thriller film. The story revolves around a mountaineer who makes his living by providing treks and climbing expeditions to tourists. Shivaay (Ajay Devgan) as he is known to people meets Olga (Erika Kaar) and by saving her from an avalanche, they fall in love and Olga becomes pregnant.
She is not in favour of having the child as she wants to return home to Bulgaria. Shivaay request her to have the child, and promises to look after the child, she could then leave for her country after its birth.
Eight years later, the girl child Gaura (Abigail Eames) discovers that her mother is in Bulgaria, she longs to go there and meet her. Shivaay forgetting his differences reaches Bulgaria with his daughter where he manages to save a child from a child - trafficker. Shivaay takes help of the Indian Embassy to locate Olga and he is helped by Anu (Sayesha Saigal).
The Don child -trafficker Ustinov and his right hand man Changeiz kidnaps Gaura. Shivaay chases them but gets arrested by the police. In the police van Shivaay imagines that the officer is one of the trafficker and attacks him and throw other officers out of the van. Accidentally the van falls in the dam and police thinks Shivaay is dead, but he escapes due to his skills.
Shivaay saves a prostitute and brings her to Anu's home. Olga who has seen Shivaay on T.V tries to meet him. With the help of CCTV footage Shivaay locates Ustinov where he discovers that Gaura is been taken away to be sold in the flesh trade.
Shivaay follows the van taking his daughter to Romania. A long chase and fight with Changez the right hand man of Ustinov. Captain Nikolai attacks Shivaay who gets finally killed by him.
Gaura meets Olga her mother who wants to look after her but Shivaay does not want to leave Gaura behind. He is speechless in front of Olga, leaves with a heavy heart for the airport, where Gaura arrives requesting him to stay back by holding on to his arms.