Max Payne 2 is a third-person shooter, in which the player assumes the role of Max Payne, but also plays as Mona Sax in a few levels. Initially, the player's weapon is a 9mm pistol. As they progress, players access other weapons including other handguns, shotguns, submachine guns, assault rifles, sniper rifles, and hand-thrown weapons. To move the game along, the player is told what the next objective is through Max's internal monologue, in which Max iterates what his next steps should be.

In Max Payne 2, the player controls Max Payne, a former DEA agent for the NYPD and a fugitive framed for murder of his best friend and fellow cop Alex. Two years after the events of the first game, Max has cleared his name and is now an NYPD detective. He reunites with Mona Sax, whom he met in the previous game, as they set out to resolve a conspiracy of death and betrayal, finding the Inner Circle in the center of it all.