- "We come to you now live from the crime scene."
- ―Max Payne calls from Roscoe Bank
He arrived at an abandoned station during the 40's as a passage to where the heist is going to happen. Max traverse through the abandoned station to find more mobsters and eliminate who stand in his way. He eavesdrop mobsters mentioning Lupino's insanity which indicates the mobsters belong to the Punchinellos and Jack Lupino.
On his way, he heard and felt an explosion happening and found out that the mobsters blew a hole in the wall side to reach the Roscoe Bank vault. He also found a door that is rigged with explosives which also cover the mobsters escape. Max soon kill off all the Punchinellos in the bank and reply to Bravura who is dealing with the robbery. Max check the other vaults to realize that they are stealing Aesir's, a successfully pharmaceutical corporation, bonds before taking the detonator for the door.
After exploding the door, he meet Alex who is behind a gate and explain the heist by Lupino to Alex which he figure something up. However, he is killed by an unknown assailant before revealing to Max. With his friend's death, he soon kill his way out of the station. His friend kept him sane for 3 years after his family's death and Max doesn't know how he felt. He knows Alex got killed due to finding something that implicates Lupino.
On the PS2/Xbox version, this chapter is divided into three sub-chapters: One Way or the Other, Live from the Crime Scene and Stepping on Toes.
Complete 'Part I Chapter 2: Live From The Crime Scene' on any difficulty
- At the beginning of the level, two thugs will argue with each other about the detonator. If you let the argument pan out, one of the thugs will kill the other and then whistle casually.
- One of the thugs has a cell phone with the ringtone of The Good, the Bad and the Ugly main title theme song.
- While in the vault, Max can shoot out the alarm system, which will prompt him to comically mutter a "thank you."
- The Killer Rats: Just before Max finds Alex, one of the mobsters will toss a grenade, but if Max kill him quickly enough, he can pick it up and head towards the beginning of the chapter where a hole in the wall can be found. Toss the grenade into the hole and the message 'I had declared a war against rats' will appear as an objective. Head back through the tunnel and up the stairs, where there will be rats holding guns; they will fire at Max on sight.
- Before Alex is shot, Alex mentioned someone important than Lupino relating to the heist, it could implied Angelo Punchinello as he is higher rank than Lupino although the reason of the heist remain unknown.
- At the end of the chapter, near the stairs that lead to the station's exit, there are several posters on the wall of people who seem to be members of the development team.