The protagonist of the game is Claude, a small-time criminal with grand ambitions. At the start of the game, Claude has been in a relationship with female criminal Catalina for nearly a decade, and the two of them take part in a bank robbery at Liberty City (a fictionalized version of New York City). Catalina suddenly betrays and shoots Claude, leaving him behind. She has been offered a leadership position at the Colombian drug cartel, and feels that she no longer needs Claude. He has outlived his usefulness.
The injured Claude is arrested and put on trial for his crimes. He is sentenced to a 10-year-long imprisonment. While Claude is transported to prison on a prison van, the van is attacked by people of the Colombian Cartel. The Cartel abducts a single, elderly prisoner, and does not bother to check on the rest of them. Claude and fellow prisoner "8-Ball" manage to escape unharmed.
"8-Ball" turns out to have connections to the Leone crime family, local representatives to of the Mafia. He introduces Claude to some of the leaders of the crime family, and Claude is hired as an enforcer for the Leones. His missions include sabotaging the ships transporting drugs from Colombia. One of these drugs is a new synthetic drug called "SPANK" which Catalina is trying to market to drug users.
Following a successful mission, Claude is targeted for assassination by his own boss, the elderly Don Salvatore Leone. ("Don" derives from Latin "Dominus", means "Lord", and designates high-ranking crime bosses.) Claude is unexpectedly rescued by Maria Latore, the Don's 27-year-old trophy wife. Claude is informed than in a recent dispute between husband and wife, Maria falsely claimed that she is having an affair with Claude (who has actually only met her once). Resulting in Don Salvatore wanting Claude dead. Maria is actually leaving her husband to move in with her friend Asuka Kasen, a Japanese woman.
Asuka serves as the co-leader of the local Yakuza, and she eagerly recruits Claude for her organization. While serving in various missions, Claude has clandestine meetings with crooked businessman Donald Love (a parody version of Donald Trump), who has become a major player in both the real estate industry and the media industry. Donald wants to orchestrate a gang war between the Yakuza and the Colombian cartel, in hopes of driving down the real estate prices in some areas and allowing him to purchase real estate at dirt-cheap prices. He wants Claude to help him.
Claude orchestrates the assassination of Yakuza co-leader Kenji Kasen (Asuka's brother), and incriminates the Colombian cartel for it. The gang war begins, and Claude continues to serve missions for both Asuka and Donald. Donald manages to take custody of the Cartel's mysterious elderly prisoner, and then flees the city with him. His further fate unknown.
Claude's series of successful missions ends when Catalina manages to assassinate Asuka, Miguel (Catalina's co-leader and a Yakuza double-agent), and abduct the recently-widowed Maria Latore (who is Claude's current love interest). Catalina attempts to blackmail Claude for ransom, but their conflict leads to a gunfight between the two ex-lovers. Claude seemingly kills Catalina, rescues Maria, and starts walking with Maria away from the battlefield. Maria keeps chattering as she walks away. In a surprise ending, gunshots are heard, Maria's voice is silenced, and the game ends. It is left ambiguous whether Claude killed Maria, or whether they were both killed by other shooters.