A year after Band of Thieves, Sly Cooper, Bentley, and Murray attempt to open the Cooper Vault on Kaine Island — only to be intercepted by Dr. M, who owns the island. Murray and Bentley escape, but Sly is seized by a creature, and the story flashes back to show how the team got there.
Sly learned the vault's location from Jim McSweeney, a former colleague of his father. Inside the vault lies the accumulated wealth of the entire Cooper Clan. Dr. M has built a fortress around it. Sly needs the team back together.
In Venice, Murray has left the group out of guilt over Bentley's injury, which left Bentley paralyzed. He is training under a peaceful figure called the Guru and will not return until his assigned task is done — cleaning up the canals that mob boss Octavio has been deliberately poisoning with tar to extort the city into embracing opera. Sly and Bentley disrupt Octavio's comeback performance; when Octavio wounds Bentley in response, Murray abandons his training, defeats Octavio, and rejoins the team.