Plot
The story consists of three parts: "The American Dream", "A Cold Day in Hell", and "A Bit Closer to Heaven".
The game begins in medias res of 20 December, 2001, as New York City finishes experiencing the worst blizzard in the history of the city. The intro sequence shows Max Payne, a renegade DEA agent and former NYPD officer, standing at the top of a skyscraper building with a sniper as police units arrive. He then experiences flashbacks from three years ago and the last two days.
In Part 1, "The American Dream", on August 22, 1998, Max is shown as a regular NYPD detective on his job, who declines to be transferred to the DEA, as he wants to be with his family. He returned home to find that a trio of apparent junkies had broken into his house while high on a new designer drug called Valkyr. Max rushed to aid his family and kills the junkies, but was too late and his wife and their newborn daughter had already been brutally slaughtered. After his family's funeral, Payne transferred to the DEA at his own request to stop the spreading of the drugs.
Three years later, Max Payne is employed as an undercover operative inside the Punchinello Mafia family, under the ruthless Don Angelo Punchinello, responsible for the trafficking of Valkyr. His DEA colleague B.B. gives Max a message asking him to meet another DEA agent, who is also Max's best friend, Alex Balder, in the NYC Rosco Subway station. Max's arrival at the subway results in a shoot-out after he encounters mobsters working for Jack Lupino, a Mafia underboss in the Punchinello crime family, attempting a bank robbery by breaking through from the station, where he uncovers gold and also Aesir Corp. secret files.
As he searches the vault, he hears the voice of the Chief Inspector Jim Bravura, who wants the criminals to surrender. He has no choice and has to return back through the Rosco station to escape. Working his way back to the station, Max encounters Alex, who tells him that there is a mole in the Punchinello family and that he has been exposed. Before he could inform any more, he is then killed by an unknown assassin. Payne becomes the prime suspect in the murder because he is still undercover (his NYPD records are remodeled to be shown as a high operative assassin) and the fact that he fled the crime scene, while the Mafia find out that he is a cop and now want him dead, and now is chased by both the Punchinello and also Bravura, who is aware of him and wants him captured.
While searching for Lupino in "businesses" owned by him, Max busts a Valkyr drug deal and discovers that the Russian mobster Vladimir Lem is engaged in a fierce turf war against Punchinello's men. Max meets with the Finito Brothers, Lupino's Capos, in his motel, where he kills them and finds the location of Vinnie Gognitti, Lupino's right-hand man. He wounds and chases Gognitti, while also shooting mobsters that accompanied him. Chasing Gognitti through the city and the subway, Max learns about the location of Lupino's hideout, a nightclub named Ragna Rock. He spares Gognitti's life after realizing that he is just a coward. He arrives at Ragna Rock, where he finds out that Lupino has gone insane from the drugs and now has become an antichrist who calls the Devils from different mythologies to worship him as a "messenger of the Hell". After gunning his men, he kills him. After Lupino's death, he encounters Mona Sax, a female contract killer and twin sister of Lisa Punchinello, the Don's wife, who pours him a drink which turns out to be laced with a sedative, which knocks him out, with Mona telling him that although they want to kill the Don, she cannot let him harm her sister.
In part two, "A Cold Day in Hell", Max arrives in a flashback of his day when his family is killed, unable to save them. He wakes up and realizes that he is kidnapped by the mob and he is tortured by Frank "The Bat" Niagara, one of the Don's Soldatos. He also finds out that Mona Sax is captured after a failed attempt on Don's life and tortured by the Trio, Don's elite assassins. He manages to escape from the Mafia-owned slaughterhouse, and he also encounters and kills Frank.
Max leaves the bar, and he is cornered by Vladimir Lem, who tells him that they are both after the Don, and they enter a brief alliance. He agrees to kill one of Vladimir's traitors, Boris Dime, and his men aboard the cargo ship Charon at the Brooklyn riverfront, which contains a shipment of high-powered firearms belonging to the Russian mob, which Max keeps in exchange for the favor. After surviving a bomb ambush at the Mafia restaurant Casa di Angelo, Max uses the new-found Russian mob's weapons to storm the residence of Punchinello. After fighting the Trio and killing them, he enters Don's residence. There he finds the body of Lisa Punchinello, Mona's sister, and discovers that the Don is only a puppet in the Valkyr market when the mafioso is killed in front of Payne by agents of Nicole Horne, the CEO of the mysterious Aesir Corporation. Horne then injects Max with an overdose of Valkyr and leaves him for dead, as he experiences a drug-induced nightmare and suffers his internal torment and guilt for not being able to save his family (as well as strange letters allegedly written by his deceased wife telling him that he is a character in a video game).
After surviving the overdose and awakening, Payne pursues his only lead to a steel foundry located over a hidden underground military research complex. Inside he discovers that Valkyr is the result of Valhalla Project, an early 1990s U.S. military attempt to improve soldiers' stamina and morale following earlier The Ladder experiments; the project that was sharply halted due to poor results, but was later restarted by Horne and Aesir. He also discovers that his wife accidentally found out about the project, and Horne let loose the crazed Valkyr test subjects into his house to kill her. Aesir initiates "Operation Dead Eyes" to get rid of evidence and witnesses, including their own scientists. Max escapes the bunker at the last moment just as it self-destructs.
Max then gets a call from B.B., who arranges a meeting at a parking lot where Max Payne confronts him. B.B. admits he took a bribe from Nicole Horne to get rid of Alex and Max in order to ensure Aesir corporation and the activity of the company cannot be tracked. B.B. is responsible for what happened to Alex and he framed Max; Lupino was insignificant in the case (he was only a Valkyr junkie, nothing else) and Punchinello with his mafia was just a puppet, masking the ones truly behind Max Payne's suffering: Aesir. A running gunfight then commences as Max chases him through the garage. After killing the traitor, Max gets a phone call from a man named Alfred Woden, asking him to come to the Asgard Building.
Arriving, Alfred reveals himself to be part of a powerful secret society called the Inner Circle, which has strong ties to the U.S. government. The Inner Circle members inform Max about Nicole Horne's identity but cannot pursue her themselves because "their hands are tied" (Max later discovers the Inner Circle was blackmailed by Nicole Horne in exchange for their silence). They ask Max to kill Horne in exchange for dropping any criminal charges against him. Suddenly, Asgard is overrun by Aesir gunmen who kill everyone in the meeting room except for Max, who escapes, and Woden, who pretends to be shot to deceive the assailants.
Max arrives at the main office of Aesir Corporation and makes his way through this high-tech security building while avoiding strafing runs by a minigun-armed helicopter. Along the way he runs into Mona Sax again in an elevator, but she is shot in the head by Horne's men after she refuses to shoot Max (her body vanishes when Max goes back to the elevator). At the top Max finally confronts Nicole, who escapes to the roof and boards the helicopter. Max shoots the guy wires of the building's antenna, which snaps off and crashes into the helicopter, killing Horne.
The game's storyline returns at the very point where it had first started, as Payne's three-night rampage is over. The NYPD ESU arrives at the scene, arresting Max and leading him out of the Aesir building, where he sees Alfred Woden. Knowing that Woden will ensure his safe passage through the judicial system, Max smiles genuinely, satisfied with avenging his family. Woden himself smiles, satisfied that Nicole Horne has been stopped and the snow storm in the story ceases.
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