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.

Vic Mackey is the leader of an elite Strike Team unit, a group of cops effective at eliminating crime while operating under Vic's set of rules that sometimes cross the line between legal and illegal. The precinct's new captain doesn't like Vic's tactics, and wants to bust him off the force.

The story of the Miami Police Department's vice squad and its efforts to end drug trafficking and prostitution, centered on the unlikely partnership of Sonny Crockett and Ricardo Tubbs - who first meet when Tubbs is undercover in a drug cartel.