In Cold War you play the role of Matthew Carter, an American journalist, who gets into serious trouble when chasing after a story in of Russia in 1986. You soon realize that you have been led you into a trap orchestrated by anti-perestroika KGB conspirators, headed by a fictional KGB director Named Georgi Barinski. These conspirators want to stop you from uncovering their plans, and also get revenge for a previous news story in which you exposed a KGB operation in Berlin. To get you out of the way, they have switched your ordinary camera for one incorporating a cunning X-ray weapon, and have framed you as a CIA assassin who wanted to kill General Secretary Mikhail Gorbachev (who, in the game, is somewhat incorrectly referred to as the "president" -- even though no such office existed at the time). Your goal is to escape the Lubyanka KGB prison, together with the head of the Presidential Guard, a loyalist named Grushkov who has also been framed. You must work with him to stop the KGB radicals from overthrowing the government, and to prove that you are both innocent.

Cold War's gameplay is based on stealth, similar to games like Splinter Cell or Dark Project. Being a journalist you are no weapons expert, so you should try to be stealthy and attack only when necessary. To help even the odds, you can create useful gadgets out of items you find, improvising things like gas grenades, anesthesia ammunition or distraction items.