- "Next stop: Roscoe Street Station, and Alex"
- ―Max Payne before stepping off the train
Three years after the murder of Max's family, Max gets a call from B.B., telling him to meet Alex Balder at the Roscoe Street Station. Max arrives at the station to find that it's closed down, but after investigating the platform he finds a dead Transit cop. He then has to shoot his way past the Mafia to find his partner.
Making his way to another part of the station, Max finds and saves a security guard, who helps him get past a locked door to a control room, but the guard is killed by a mobster soon after unlocking the door for the DEA agent. Max takes out the criminals in the subway control room and uses a switch to turn the power back on for one of the station's platforms. The stopped subway train at the platform also powers on, and Max uses it to destroy the barrier that blocks the train from going past the platform.
Once it crashes through the barrier the subway car comes to a stop and Max gets out to head deeper into the tunnel on foot. The chapter ends as Max heads down a smaller, branching tunnel.
- If the player abandons the Transit Cop without killing the mobster, an cutscene will play, showing the Transit Cop begging for his life, right before the mobster shoots and kills him. The mission will fail too.
- Down the stairs, past the first goon with a shotgun, turn right into a locker room. Follow the corridor and to the right is a locked door that says 'Maintenance on it. The door can be opened by shooting a gas canister under one of the lockers. Inside is a Desert Eagle with plenty of ammo.
On the PS2/Xbox version, this chapter is divided into two sub-chapters: Roscoe Street Station and So Much for Being Subtle.
Complete 'Part I Chapter 1: Roscoe Street Station on any difficulty