Spoilers ahead for The OA Season 2. There's lots of weird stuff happening on The OA, so when it opened its second season with a missing persons case, you probably knew it wasn't going to be a straightforward investigation. We do eventually find out what happened to Michelle, but it's a long, strange journey to get there.
It all begins with Karim Washington, a detective tasked with finding a missing teenager named Michelle. Soon, it's revealed that he lives in the alternate dimension that OA, Hap, and some of the others have traveled to. This dimension is better for some but worse for others. It's still 2016, but Joe Biden is president.
Karim discovers that Michelle has been playing a game called Q Symphony, an app that uses augmented reality to unveil a series of puzzles around the city of San Francisco. It has a cult following of young people who squat in buildings while trying to get to the next level — partially because the game is addictive, but also because it pays big money. Supposedly, beating the fifth, final level will earn you one million dollars, and Michelle already won $36,000 (or maybe more). Karim discovers that she was squatting in Nina Azarova's house to play, which brings him to Prairie, as Nina is her alter-ego in this dimension.
However, Prairie (or Nina, or OA, or whatever name she's using at the moment) recognizes something crucial: Michelle is identical to Buck, one of the teenagers in her tribe back in her home dimension. Michelle is also Buck's birth name, which his parents still call him because they haven't fully accepted that he is transgender.
So, presumably the Michelle that Karim is looking for is his dimension's version of Buck, and either hasn't yet come out as transgender, or is a different person entirely. Which brings us back to the question at hand: What happened to Michelle? Is Michelle dead? Did Michelle travel to Buck's dimension? Are Michelle and the other gamers trapped in the house on Nob Hill? Is Michelle in an entirely separate dimension we haven't seen yet? This remains a mystery for much of the season, but the final two episodes finally offer some answers.
In Episode 7, Prairie finds a video of Michelle reaching the attic in the House on Nob Hill, opening the rose, stained glass window, and collapsing. Karim is still looking for "a body," but Prairie insists that's not the right track. True to that, when Pierre Ruskin takes Karim to Michelle's grandmother and Michelle, who is unconscious but alive, the grandmother insists that the real Michelle is still in the house.
At first, Karim brushes it off. A nurse at the hospital, where he brought Fola (Zendaya) after finding her on the brink of death in the house, tells him there are poisonous gas emissions nearby, and that can lead to hallucinations. So he thinks the whole thing was in their imaginations. But what Ruskin reveals to him — that he's the fourth image the participants in his dream study all saw, and that the house has been calling to him and only him this whole time — prompts him to go back inside and look for Michelle.
He similarly finds his way to the rose window, and opens it to see the dimension OA and Hap have been transported to. In a meta twist fitting for the show, it's a TV set on which OA is an actress called Brit (a nod to IRL OA star Brit Marling, who plays OA), and Hap is British actor Jason Isaacs (also the real actor who plays him). Michelle is there too, though she appears to be Ian Alexander, the actor who plays Buck, in this dimension. Karim calls out to Michelle, she climbs up to the window, and he pulls her back into her original dimension, where Michelle suddenly wakes up.
So did she actually win the game? Does it matter? Arguably, yes, Ruskin owes her the money promised for beating the final level, as this sure seems like the end goal. However, the game was ultimately just a way to lure teens to the house — the puzzle within it is an entirely different entity. For now, Michelle's storyline feels resolved. She's back with her grandmother and safely out of the house. But clearly, her life is interwoven with Buck's, so she'll likely pop up again if and when the series progresses.