Players zap humans with Cosmi's ray gun in order to trap their identity, which they can then take on by standing on UFO icons marked on the mini-map.

While disguised, Cosmi can take two hits, the first leaving him in underwear—which Dan Whitehead of Eurogamer described as "a Capcom fetish dating back to Ghosts 'n Goblins"—while the second one reverts him to his vulnerable alien form.

He takes him to his Dojo to train, and lets Cosmi move on with his mission, in eight different locations: Coco Town, High Stakes Hill, Pranksylvania, Pharaoh Island, Big Booty Bay, Frontiersville, Raccoon City and finally Cosmopolis.

The game opens with the 1969 George Baker Selection song "Little Green Bag", which previously became notable for soundtracking the 1992 film Reservoir Dogs.

[4] In a retrospective review for Eurogamer in 2021, Dan Whitehead wrote that the game was "fun ... in small doses" but not "particularly good", criticizing its "unhelpful camera", "confusing action", "exhausting" and "over the top" tone and characters, but also remarking that it was "hard not to wish the big publishers would still roll the dice of daft experiments like Under the Skin".