The game's story follows Sly Cooper and his friends Bentley the Turtle and Murray on their mission to track down the Fiendish Five, the gang that killed Sly's family and stole the Thievius Raccoonus -- a family heirloom that contains all the knowledge one needs to become a master thief.
The gameplay in Sly Cooper and the Thievius Raccoonus primarily consists of platforming, but it also incorporates other gameplay elements, such as stealth.