Grand Theft Auto IV is structured similarly to previous games in the series. The core gameplay consists of giving the player a large, open environment in which to move around. On foot, the player's character is capable of walking, running, swimming, climbing and jumping, as well as using weapons and basic hand-to-hand combat. Players can steal and drive a variety of vehicles, including automobiles, boats, helicopters, and motorcycles. Grand Theft Auto IV takes advantage of Natural Motion's Euphoria engine, which combines artificial intelligence, bio-mechanics and physics to make NPC behaviour and movement adaptive and more realistic.

The open, non-linear environment allows players to explore and choose how they wish to play the game. Although storyline missions are necessary to progress through the game and unlock certain parts of the map and content, they are not required, as players can complete them at their own leisure. When not taking on a storyline mission, players can free-roam, giving them the ability to do activities, both legal (such as bowling with friends met through the game or optional missions) and illegal (crimes such as car theft and killings). Commiting crimes, sometimes if strung together can attract the attention of the authorities.

It is possible to have multiple active missions, due to the fact that some missions will run over the course of several days and will require the player to wait for further instructions, etc. The player can also partake in a variety of optional side missions. For the first time in the series, Grand Theft Auto IV features "morality choices" at several points throughout the game, in which the player is forced to choose between killing a character or sparing their life or killing one of two characters. The game has two different endings, which are determined by deciding which of the two missions to complete. The player can choose between a revenge mission or a deal mission, each leads to a different ending.