Returning to London, the investigators update Vincent on developments and book tickets on the next boat-train to Paris. From Paris, they catch the night train to Milan, arriving early the next morning. After securing rooms at the Hotel Bertolini, where Aubrey stayed on his Grand Tour, they hail a taxi and ask to be taken to the shipping office of Giuseppe Colombo in the Navigli.

Aubrey's Grand Tour did not include the Navigli, which proves to be an extensive area of canals and narrow streets in the south of the town. Luckily, his Italian is just about up to the resulting explanations. It takes about an hour slow driving and frequent stops to ask directions before they are able to find the office. On the way, the investigators notice several walls with "Il Re" painted on them many times in as many hands. It is a sign of loyalty to the Duce, the driver explains. Some of the Party soldiers even cut it into their arms to show their bravery.

Eventually, they arrive at a rather squalid terrace on fronting into a canal. A sign on one door reads simply: "UFFICIO". Inside, they meet Thomas Villiers, an Englishman in his late thirties who Aubrey remembers as a minor painter of the pre-War period, and Giuseppe Colombo, an Italian of advanced years and extremely bad temper. Villiers is pleased to hear that the investigators are looking for Quarrie. He has left Milan, but they may still be able to join Pilgrimage. The story is that they're in Tibet, but in reality...

At this point Colombo interrupts Villiers. The gist of his remarks is that the investigators are fools and pigs, that Villiers is a fool for talking to them, and that the King in Yellow will tread on them and all like them. He storms out of the office speeds off in the investigators' taxi. Villiers apologises and suggests that they continue talking in his studio across the way, where he has comfortable chairs and a bottle of grappa.

At the studio the investigators spend several hours in rather awkward conversation with Villiers, who has become a little more wary of the investigators. Although cautious with specifics, he is happy to talk in general terms about Quarrie and the Pilgrimage of Grace. It seems that after breaking with Edwards, Quarrie came to Italy to join his friend Roberto Anzalone at the University of Milan. Anzalone was a member of Il Fratelli del Signo Gallo; a group of artists and philosophers who stage a private production of The King in Yellow once a year in Rome. Colombo is one of the founders of the society but was sidelined by Quarrie, who gathered his own group of artists and scholars in Milan.

According to Villiers, the Quarrie's group are gnostics of a kind. They believe that the teachings of Christianity conceal truths about another, older, god who visited the Earth in the past. The Pilgrimage of Grace is a spiritual journey in emulation of the journey of the god to Earth, symbolised in the Bible by the wanderings of the Tribes of Israel. Through the pilgrimage, they hope to achieve rapport with the god and invite Him to return to Earth. Villiers describes Quarrie as a man of vision, whose experience of the horrors of the Great War and the emptiness of modern life have convinced him of the need for a great change in human thought.

Ludwig notices some notes for a painting pinned to the easel next to his chair. Seeing references to Drakmar and the Kali Gandaki gorge in Nepal, he surreptitiously does his best to memorise them while Aubrey and Alex hold their end of the conversation and Vincent dozes in a corner.

The next day, the investigators plan to visit the University. As they leave the hotel, Aubrey is accosted by Colombo. He has studied history for many years, he says, and has learned only that people are all fools or swine, or both. Quarrie's friends in England were fools who though that Hastur was the devil; Quarrie is a fool who thinks that Hastur is God. They are all wrong. The King wears a mask, but there is only emptiness behind it. He leaves abruptly before the desk clerk can have him ejected.

At the University the investigators are directed to the History department where they speak to Paulo Bacci, a colleague of Anzalone. Anzalone, he says, left in August on an expedition to locate the lost capital of the kingdom of Gungthang in southern Tibet. He is accompanied by Quarrie, an expert on the history of the region, Carlo Schippone, a graduate student, and Ricardo Delnegro, a major in the Alpini, and three mountaineers. Delnegro, he explains carefully, is there for his mountaineering skills but he is also a Party man. The Party consider this expedition a matter of national prestige and are anxious for its success.

With Bacci's help, the investigators are able to do some research in the University library. Drakmar is a cliff-village in the ancient Nepalese kingdom of Mastang (or Mustang), which was an important regional power in the fourteenth and fifteenth centuries. It was a meeting-place for the tsotswa nomads, who were massacred there by a king named Agon Sangpo. Nepal has historically been closed to outsiders and this policy has been supported by the British government since their recognition of Nepal as an independent state in 1923.

The investigators return to London on December 18th and begin to make plans to follow the Anzalone expedition. Christmas is approaching, and it will not be possible to depart until the end of the month. Alex makes enquiries at the Royal Geographical society, claiming that he plans an expedition to Tibet. They are puzzled but happy to direct him to accounts by other explorers and lists of suitable gear. Some discreet questions about Nepal get him a name: a Mr Joseph Jorkens, to be found in one or other of the hotel bars in Benares. Ludwig, meanwhile, is questioned by the police. It appears that his business partner is suspected of performing abortions. Ludwig is not under suspicion, but he is asked not to leave the country - advice that he is happy to ignore.

Pooling their assets, Aubrey and Alex buy a mass of equipment and book tickets for Bombay. On December 30th, the investigators depart Marseilles aboard the P&O liner "Viceroy of India". The voyage takes eleven days and passes without major incident. The formidable Mrs Tilton, wife of the head of the British Legation, presides over their table at diner and is a fount of useful, and occasionally relevant, advice.

Aubrey spends much of the time flirting with Francesca, a vivacious girl with an interest in art that is apparently unfeigned. She is travelling as a companion for her friend Patricia, who has been sent abroad for the sake of her nerves. Patricia spends some time with Alex, but it seems her heart is not really in it. She becomes increasingly tired and distracted as the voyage goes on.

The night after they pass through the Suez Canal, all the investigators begin to experience disturbing dreams. The next evening, Patricia trips and falls on the dance floor; she remains in her cabin for the rest of the voyage.

As the passengers disembark at Bombay, Patricia falls from the gangway into the harbour. Francesca insists that she slipped and fell, but there are doubts. Diving in after her, Aubrey very nearly drowns himself but is eventually able to keep Patricia's head above the water long enough to be rescued by locals in a small boat. As the hero of the hour, he is interviewed by a junior reporter from the "Bombay Times".