Max Payne 3 is the third main game in the series and takes place a good few years after the events of the previous entries. Following his work as a DEA agent and a New York City Police Department detective, protagonist Max Payne moves from Hoboken, New Jersey to São Paulo, Brazil. Looking for a new life and to leave his past behind, he works in a private security detail for Rodrigo Branco. When Branco's wife Fabiana is captured by a street gang during a rooftop party, Payne sets out to save her but the events quickly spiral out of control. He still drinks heavily and even though the drawn comic book panels are no longer present, the cut-scenes still incorporate the panel look and now further the story using the in-game engine with the characteristic inner dialogue voice-over and the film noir elements. Halfway through the game Payne also exchanges his typical suit or trench coat for a bearded, short-haired look wearing a shirt. Compared to the previous game and because of the location the visuals are also often much brighter.

The game is played as a third-person shooter where Payne is often outnumbered by enemies. To survive, the series' prime bullet time mechanic is essential. Activating it slows down time and it allows him to jump, dodge, shoot, and lock onto multiple enemies in succession to take them out. Its length is determined by a bar on the right that needs some time to fill up again. While in a grounded position after a jump Max stays in that position and can quickly shoot in any direction. Defeated opponents leave behind weapons that can be exchanged or be emptied for additional ammo. Multiple weapons can be collected and through a radial menu another one can be selected quickly. Payne is also able to dual-wield pistols and he uses shotguns and automatic weapons. The gameplay incorporates a cover mechanic where cover can be sought near virtually any object. From that safe position it is possible to aim and shoot, or jump out. To survive, cover needs to be used constantly and specific body parts such as head shots are often required to dispose of enemies quickly. Health is shown through an outlined figure on the right. As Max gets shot, it fills up red. To avoid dying he has to pick up and swallow painkillers that come in small supplies.

Certain objects in the environment can be examined for clues and flashing buttons can be shot to open doors and gates. For cinematic effect there is a bullet camera that follows the projectile until impact. The player can manually slow down the camera and rotate, and then continue shooting. Not all of the story is told in chronological order. Some parts are played from flashbacks and next to locations such as restaurants, clubs, rooftops, docks, hotels and the favelas, there are sequences where Max shoots from a helicopter or while on a boat racing on a river. Many times cut-scenes seamlessly turn into gameplay scenes. Next to the main objectives the shooting style is rewarded through grind achievements and optional golden gun parts can be collected to form sets. The main scenario is supplemented with an arcade mode, and the New York Minute mode unlocked after completing the game once.

Multiplayer is entirely new to the series. Next to regular deathmatch games it has a Gang Wars team mode based around gaining experience, using perks, defining custom loadouts, etc. The games include variants of capture-and-hold and capture-the-flag. It also incorporates the bullet time mechanic where activating it affects every opponent in the character's line-of-sight. Crews that are set up through Rockstar's Social Club environment can be carried over to different games.