The game focuses on master thief Sly Cooper and his gang, Bentley the Turtle and Murray the Hippo, as they seek out the Fiendish Five to recover his family's "Thievius Raccoonus", a book with the accumulation of all of Sly's ancestors' thieving moves. The game was praised for using a variation on cel- shading rendering, which is used to create a film noir feel, while still rendered as an animated movie, though criticized for being too short.
Sly Cooper, with the help of his friends Bentley and Murray, breaks into police headquarters in Paris by obtaining a police file that belongs to Sly. He hastily exits just as Carmelita Montoya Fox arrives and starts shooting at him. Sly explains how an ancient family book called the Thievius Raccoonus can teach a person how to become a master thief. However, the book was stolen from him by a group called the Fiendish Five (made up of: Sir Raleigh, a frog, Muggshot, a bulldog, Mz. Ruby, a crocodile, the Panda King, a Panda, and Clockwerk, a mechanical bird and main leader of the Fiendish Five), whom killed Sly's father and took sections of the book with them. Sly wound up in an orphanage, where he met Bentley and Murray. Together, they plotted to track down the Fiendish Five and avenge Sly's father.
The gang travels to the Welsh Triangle, where Sir Raleigh lives. He created a storm machine to sink ships and keep ships off the waters, but Sly disables the storm machine's engine and confronts Raleigh himself, who is defeated by Sly and arrested by Carmelita. The gang then travels to Mesa City, Utah, where Muggshot runs a gambling empire full that caused the citizens of the city to flee after he and his thugs took over. Sly takes down his gambling empire and defeats him, leaving him in the hands of the law. Afterwards, the gang travels deep into the Haitian jungle, the home of Mz. Ruby. She took over the jungle and became a voodoo priest after she was feared as a child, creating an ugly swamp and an army of ghosts to take over Mexico. Sly steals all of her treasure keys and makes his way up to her skull temple, where he defeats her and she is thrown into prison for life for undead creation. Afterwards, the gang goes to the Kunlun Muntains of China, where the Panda King is burying villages in snow with his firework techniques. After confronting him, Sly defeats the Panda King and Bentley traces the metal on the two blasting vehicles found in Mz. Ruby and the Panda King's lairs, tracing it to Russia, the location of Clockwerk.
The gang travels to the Krack-Karov Volcano in Russia, where a new turret is added to the team van. Sly takes out the obstacles on their path towards Clockwerk's lair, but Sly is nearly gassed to death in a chamber while freeing Carmelita. Bentley frees him and Carmelita agrees to join sides until Clockwerk is destroyed. After destroying his death ray, Clockwerk confronts Sly, and they engage in a battle to the death. Sly finally destroys his head and defeats him, reclaiming the Thievius Raccoonus, but also Carmelita's promise to arrest him after he was defeated. She gives him a 10-second head start, but Sly uses the opportunity to kiss her and handcuff her to a railing while the gang takes off.
- The game has different names in the PAL and NTSC-J regions. In Europe and Australia, the game is known as Sly Raccoon. In Japan, the game is known Kaitō Sly Cooper (怪盗スライ・クーパー, this roughly translates to "Phantom Theif Sly Cooper)
- The Japanese version of the game sports a vocal theme song called Blackjack, set to a flashy intro not seen in the North American or PAL versions of the game. While the group singing the song, Tokyo Sja Paradise Orchestra, has a distinct Japanese accent, none of the lyrics are in Japanese and the entire song is in English.
- Another addition in the Japanese version not present in the other versions is alternate animated introduction and ending sequences. These sequences feature full animation, as opposed to the limited-flash-style animation seen in the other animated sequences present throughout the game. These alternate sequences are drawn in a typical anime style. The Japanese introduction is unlockable for view in the North American and PAL versions, but the Japanese ending can only be unlocked in the PAL version.
- In the game, there are references to Sucker Punch's first game: Rocket: Robot on Wheels which was released on the Nintendo 64.
- The game had a alternate cover for it's Greatest Hits version.