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.

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. Your goal is to escape the Lubyanka KGB prison, together with the head of the Presidential Guard. You must work with him to stop the KGB radicals from overthrowing the government and to prove that you are both innocent.