Rocky and Bullwinkle need to go through perilous levels that feature their enemies Boris and Natasha, before they could reach the home of the moose's ancestor.

The NES version includes a countryside house, a futuristic city, a train, a desert, and a mansion.

The Genesis and SNES versions consist of seven levels that take players through various locales: A Swiss Alps-style mountain, a cavern, a mine, a submarine, a haunted ship, a port town, and a castle.

The mini-games are "Peabody and Sherman", where players control Sherman and blow bubble gum bubbles to clog a dragon's mouth, and "Dudley Do-Right", where players ride a horse and avoid an ever-approaching train which is driven by Snidely Whiplash.

The Game Boy version's level design was later reused for The Ren & Stimpy Show: Space Cadet Adventures (also developed by Imagineering).