n The Vaults of Zurich the player takes control of a master thief who attempts a very daring heist. As the title implies it all takes place in the subterranean vault system of a Swiss bank and the goal of the game is to reach the chairman's chamber on the ninth level and steal the bank's most valuable possession: the OPEC oil deeds. The player has two hours of real time to accomplish this and return to the bank lobby. The game consists of nine levels that are connected with stairs. Each level is five sectors wide and five sectors long and each sector can be either a corridor or a vault room. As the player descends the value of the vaults increase but so does the strength of the guards that patrol the corridors.

The game is mostly played by entering keyboard commands (on some versions it's possible to move around with the joystick). Each vault room contains a certain amount of blue ship stock and a number of people. They can also contain tools and a television camera. To gain control of the wealth of a vault the player has to either fight, bribe or explode the people of the vault. Fighting is automatic once initiated and goes on until the player or the opposition has won. If the player wins he gets all the content of the vault. When bribing is successfully used the most valuable occupant of the vault joins the player and the player gets the vault contents in exchange for the bribe. If not successful combat will start with the player's change of winning being lower than normal.