It ran for 70 issues, one annual, and a cross-over special between 1993 and 1999 and retells the adventures of the Sandman, a vigilante whose main weapon is a gun that fires sleeping gas, originally created by DC in the Golden Age of Comic Books.

In a similar vein to Batman, the Sandman possesses little to no superhuman powers, though he has minor precognitive abilities through his prophetic dreams, and relies on his detective skills and inventions.

In this film noir-like series by writers Matt Wagner and Steven T. Seagle, Wesley Dodds (the Sandman) and his girlfriend Dian Belmont (daughter of the District Attorney) encountered several, often grotesque, foes in multi-issue storylines.

As the series progressed Wesley encountered in his adventures other "mystery men" of the era, including the Crimson Avenger, Starman, Blackhawk and the Hourman.

Dodds and Belmont would themselves guest star in the popular comic Starman (set in the present day), appearing as older versions of themselves, and in flashbacks done by Davis himself in the same art-style as Sandman Mystery Theatre.

The series introduced many changes to previous representations of Sandman's early years; however, as the title is under the Vertigo imprint it is not bound by standard DC Universe continuity.

In their review of Sandman Mystery Theatre #41–48, Wizard gave the series a 5 on a scale of 1 to 6, particularly praising the historical authenticity of the lingo and cultural norms, as well as the intricately developed characters, "horrific" villains, and unique atmosphere.