The Thirty-Nine Steps by John Buchan

Hanney, an expatriated Scot, returns from a long stay in South Africa to his flat in London. One night he is buttonholed by an American who appears to know of an anarchist plot to destabilise Europe, and claims to be in fear for his life. Hannay lets the American hide in his flat, and returns later to find that another man has been found shot dead in the same building, apparently a suicide. Four days later Hannay finds the American stabbed to death...