However, some levels do incorporate platforming elements and puzzle solving. Levels are generally straightforward, with almost no key-hunting. Almost all of the gameplay involves using Bullet Time to gun down foe after foe. The prime emphasis of the series is on shooting.

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. As they progress, players access other weapons including handguns, shotguns, sub-machine guns, long-range rifles, and hand-thrown weapons. Initially, the player's only weapon is a Beretta. Max Payne is a third-person shooter, in which the player assumes the role of Max Payne.