Mary Batson and her twin brother Billy were both nursed by a woman named Sarah Primm. When the Batson twins are orphaned after their parents die in a car accident, Primm substitutes Mary for the baby girl of another family she nursed for, who had suddenly died, and sends Billy to an orphanage.
Over a decade after his parents’ death, Billy is an on-air reporter for station WHIZ, hosting a quiz bowl with three young contestants. During a commercial break, Billy receives an urgent letter from Sarah Primm requesting his presence. He immediately goes to see the dying woman, who tells Billy about his twin sister, and gives him a locket broken in half. Mary, Primm tells Billy before dying, wears the other half of the locket.
After the quiz bowl broadcast is over, Billy recalled that one of the contestants, Mary Bromfield, wore a broken locket, and he and his best friend Freddy Freeman trail Mary’s limousine in their super-powered forms of Captain Marvel and Captain Marvel, Jr.. Before making it home, Mary is kidnapped for ransom, prompting the two Marvels to intervene, save her, and knock out the kidnappers.
Captain Marvel then learns that Mary's locket matches his own, and that she is indeed Billy’s sister. The Marvels reveal their secret identities to Mary, who wonders if, since she is Billy’s twin, she could become a Marvel by saying the magic word "Shazam." Billy, however, is assured that “Old Shaz—er—you know who—wouldn’t give his powers to a girl!”
Just then, the kidnappers awaken and gag Billy and Freddy, preventing them from saying their magic words. “Oh no,” exclaims Mary, "Billy can't say 'Shazam!'" Just after inadvertedly saying the word, a magic lightning bolt strikes Mary Bromfield, and she is transformed into a super powered version of herself. She then defeats the thugs by herself and frees Freddy and her brother.
Mary's super-powered self, christened "Mary Marvel" by her brother, wears a red short-sleeved blouse and red skirt, lined with gold trim, and including a lightning bolt insignia and "a cape—just like Captain Marvel’s!” According to the wizard Shazam, Mary can transform into a Marvel because her “Shazam” powers are not derived from the male mythological figures who empower Billy, but from a set of female benefactors.