The Sunset Limited is subtitled "a novel in dramatic form," and, in fact, it does gravitate more towards being a novel rather than a play. It has two characters, a white professor and a black religious believer. The white professor wanted to jump in front of a train called "The Sunset Limited" to commit suicide, but the black believer was there to pull him up just as he was about to do it.
They are now in the black believer's apartment, in which the entire novel is set. They are discussing their situation and how they found themselves there and the black believer tries to convince the white professor to stay a little longer with him, so that he can read him out of suicide. The two of them discuss the Bible and religion and what made him want to end his life.
Ultimately, the believer is unable to stop the professor from leaving any longer, who tells him that to end his life is only hope he has left, as only way to end the suffering, that he enjoys the thought of it. After he leaves, the black believer is left outside his apartment, questioning why he was there to save him in the first place and questioning God why he didn't give him the right words to stop him.