The player assumes the role of Matt Tucker, a famous burglar who has just come out of prison in the city of Fortune Hills. In the beginning, Matt is reduced to a small-time crook who has to work his way back to his former glory. After performing several burglaries, alone or with the help of accomplices he has met at various locations around the city, he collects loot and fame. By selling the loot he is able to buy better tools to use in increasingly challenging missions, with the ultimate goal being the Ministry of Light.
The gameplay consists of two modes, the planning mode and the live mode. The planning is done from Matt's apartment where actions and movements are carefully laid out. Then by going "live" the player will find out if the plan works or if everyone has gotten caught. Different locations can include patrolling guards and police, security systems, locked doors and cabinets and other obstacles. At the same time, Matt's different tools are useful in different situations as well as making different levels of noise.
The Sting! was one of the first third-person 3D games to allow the player to freely roam a city, with a transportation system (taxis) to facilitate this, many buildings he can explore and buy tools, meet accomplices or observe, prior to planning a burglary.