The series is named after its protagonist, Max Payne, a New York City police detective turned vigilante after his family was murdered by drug addicts.

As the story unfolds, he gains a number of "allies", including Vladimir Lem (a suave, old-fashioned Russian mobster) and Mona Sax (a vigilante who is out to avenge the death of her twin sister) and uncovers a major conspiracy involving the trafficking of a narcotic called V, or Valkyr—after the mythological figures in Norse mythology—which is somehow connected to the death of Max's family.

Two years after the first game, Max Payne has rejoined the NYPD and has been cleared of the charges for his killing spree thanks to his connection to Senator Alfred Woden, the leader of a secret society called the Inner Circle.

As the two work together to uncover the truth, they begin to develop feelings for each other, and come across another major conspiracy, which this time involves Vladimir Lem, the Italian Mob, and the Inner Circle.

Nine years after the second game, Max Payne has left New York and is working on a private security detail in São Paulo, Brazil.

When the wife of his employer is kidnapped by a local street gang, Max and his old friend Raul Passos join forces in an attempt to rescue her, igniting a war that will lead them to confront a larger conspiracy.