In the movie, Gonzo, who has always felt like an outsider due to his unique appearance and lack of knowledge about his past, starts to have strange dreams and behaviors after eating a bowl of "UFO's" cereal. The cereal box's message, "You are not alone," leads Gonzo to believe that he's not a normal Earth creature and that his family is out there somewhere.
Meanwhile, a group of government agents led by Agent Barker (Jeffrey Tambor) are monitoring Gonzo's behavior and believe he may be an alien spy. They plan to capture him during a party at the Muppets' house, but their plan is foiled thanks to the quick thinking of Kermit, Miss Piggy, and the rest of the gang.
After escaping the government facility, Gonzo receives a cosmic message that leads him and the Muppets to a secret underground base where he finally meets his alien family. It turns out that Gonzo is not a traditional extraterrestrial, but rather a "whatever," a unique creature that resembles both a chicken and a turkey.
Together, Gonzo and his alien family, along with the Muppets, fight against the villainous Agent Barker and his team to save Earth from an impending alien attack. The movie's message of acceptance, individuality, and the importance of family make it a heartwarming addition to the Muppets franchise.