The world of Sly Cooper is a version of the real world that is populated by anthropomorphic animals, with film noir and comic book motifs. The focus of the story is on Sly Cooper, a young adult raccoon and the latest descendant in a line of master thieves who pass down their expert techniques from generation to generation using the "Thievius Racoonus", a book which contains all the Cooper family's secrets and tricks. While the Cooper family has accumulated a massive amount of wealth through their thieving ways, Sly places greater value on his friendship with his partners, Bentley and Murray, and his flirting and teasing relationship with Inspector Carmelita Fox.
The games are primarily a third person platform games. The player controls Sly or one of his companions through many missions of several levels, relying mostly on stealth to avoid encounters and alarms while collecting treasures or other items. Sly is very agile, and is able to use many of the features of the architecture for stealth, indicated to the player by a blue glow, explained in-game as a visible manifestation of Sly's "thief senses". For example, Sly can perch on the top of sharp points, climb up pipes, sneak along a narrow ledge, walk across a tight rope, or use his cane to swing from hooks. Sly also uses his cane to defeat foes, although it makes noise that may attract other foes. He prefers to use sneak attacks when possible, due to his limited endurance. Due to his heritage, Sly has a number of special moves that he learns through the games that can also increase his stealth or speed, or allow him to eliminate foes silently. The player also may play as Bentley with his gadgets, or Murray with his strength, and many minor companions in the third game. There are also mini-games scattered throughout the gameplay.
Each game is broken into a series of heists, and to accomplish the heist, Sly and his gang must complete several sub-missions. In the first game, each sub-mission was located on a level accessible from the main heist level, while the second and third games used a nonlinear, open world approach to have various missions located around the same large level. There is typically a boss fight at the end of each heist as the conclusion to the mission.