Detective Max Payne (Mark Wahlberg) is a three-year veteran in the NYPD Cold Case Unit, privately consumed with investigating and finding the murderer of his wife Michelle and their infant child. Natasha, an acquaintance of one of Max's informants, is brutally murdered and Max's wallet (which she had stolen) is found at the crime scene. Max's former partner, Alex Balder, is murdered after telling Max he suspects that there is a connection between Natasha's murder and Michelle's murder. Max then becomes the prime suspect in the case, now headed by Lt. Bravura of Internal Affairs.
Max and Mona Sax (Mila Kunis), Natasha's sister, visit Natasha's tattoo parlour, where the tattoo artist tells them Natasha's tattoo represents the wings of a Valkyrie, which, in Norse mythology, are creatures that decide the fate of warriors in battle. Max then goes to take some of Michelle's belongings out of storage and ends up discovering that documents from when she worked at the Aesir Corporation have gone missing. Max interrogates Michelle's former supervisor, Jason Colvin (Chris O'Donnell), in his office at Aesir and learns that Michelle was associated with a military contract to create super-soldiers using the highly addictive drug Valkyr. Only a few subjects showed positive results; the rest saw hallucinations and eventually went insane, so the project was terminated. Jason agrees to testify, as long as Max protects him from who Jason calls "the man who killed your wife" Max agrees and starts to escort Jason out of his office, but a SWAT team (in fact disguised Aesir contractors) ambushes them, killing Jason and attracting Bravura's attention. After an intense gunfight Max escapes with the evidence and shows the video to Mona: it explains the Valkyr project � Lupino is a former Marine and his testimony explains that, while taking the drug, Lupino feels invincible, with no side effects (unlike most other test subjects). Max corners Lupino at his warehouse hideout, and during their battle, Max's defeat appears to be certain until BB - Aesir's head of security and Max's father-figure - arrives, killing Lupino and knocking Max unconscious as they leave.
BB explains that he is selling Valkyr and admits to killing Michelle because she inadvertently came across incriminating documents. BB plans to drown Max in the river hoping to make it look like a drug-induced suicide, but Max breaks free and dives into the icy river. He almost drowns, but hears the voice of his wife telling him it is not yet his time to die. He swims to shore and, to prevent hypothermia, consumes both vials of Valkyr, transforming into a super-soldier with visions of Valkyries. Max follows BB back to the Aesir building. Assisted by Mona, he shoots his way through Aesir security employees, eventually confronting and killing BB on the building's helipad. His vengeance complete, he falls to his knees, ready to die. He sees a vision of his wife and child, smiling. He comes to, as the sun cuts through the clouds and a SWAT team surrounds him.
A post-credits scene shows Max and Mona in a bar, reading a paper with Nicole Horne's picture on the front.
