In the year 1911, John Marston, a retired outlaw formerly of a gang led by Dutch van der Linde, is taken away from his wife Abigail and his son Jack by government agents. The agents tell Marston that he will be reunited with his family if he hunts down the remaining lead members of his former gang. Left with no choice, Marston travels to the territory of New Austin to capture or kill one of his old friends, Bill Williamson, who now runs his own gang of bandits out of Fort Mercer. Marston confronts Williamson, only to be shot and left for dead outside the fort. A rancher, Bonnie MacFarlane, finds him wounded, and brings him to a doctor to be treated.
After recovering from his wounds several days later, Marston begins repaying the MacFarlanes for their help in the form of several jobs around their ranch. At the same time, he recruits help for a plan to attack Fort Mercer. Along with U.S. Marshal Leigh Johnson of Armadillo and his men, con man Nigel West Dickens, grave robber Seth Briars and drunken arms dealer Irish, Marston uses a Trojan Horse strategy to breach the fort. Marston and the Marshalls breach the fort and massacre Williamson's gang, only to find that Williamson had already fled to Mexico to seek help from Javier Escuella, another member of Marston's old gang. Irish offers to take Marston into Mexico over the river border. Along the river, Irish and Marston encounter Mexican bandits and eventually kill all of them, barely making it into the country.
In Mexico, Marston works with Mexican Army Colonel Agustin Allende and Captain Vincente de Santa, as well as the revolutionaries in the area led by Abraham Reyes. Allende promises to deliver Escuella and Williamson to Marston, but soon betrays him and has de Santa attempt to execute Marston for working with the revolutionaries and killing Allende's men with elder gunslinger and childhood inspiration Landon Ricketts. After escaping execution, Marston sides with the rebels who help kill de Santa and successfully get Marston to Escuella. Following Escuella's capture or death, Marston joins Reyes and his men for an assault on Allende's villa, not only culminating in the deaths of Allende and Williamson, but also Marston's rebel friend Luisa as well when she attempts to save Reyes. Reyes takes control of the surrounding Mexican counties, and vows to march onto the capital with his rebel army. Marston, meanwhile, returns to the city of Blackwater to meet with his government contact, Edgar Ross.
Much to his dismay, Ross will not let Marston return to his family until Dutch van der Linde, who has emerged from hiding, has been killed. While Dutch and his men wage war on the United States Army in the area, Marston has several run-ins with Dutch who manages to elude capture each time. Marston eventually joins Ross and a group of U.S. soldiers in an assault on Dutch's hideout. Marston follows the outlaws to their base, and confronts Dutch on a cliff. Dutch ultimately chooses to commit suicide, leaping off a cliff to his death. Before jumping, however, Dutch warns Marston that the government will always find another "monster" to justify their pay.
Marston is released from his deal with the government, and returns to his family at his ranch. After some time spent getting the farm up and running again, Marston is forced to repel the army when Ross betrays him, leading a surprise attack on the property and killing Marston's friend, Uncle. Marston manages to get Abigail and Jack out safely but is executed by soldiers after sacrificing himself to allow his family time to escape. Jack and Abigail return to the ranch after hearing the gunshots, finding John dead and the soldiers gone.
The game then jumps to 1914. An older Jack is seen standing at both his parents' graves (his mother presumably having died recently , although the cause of death is never revealed). He then sets out to find a retired Edgar Ross. After receiving a tip from a government agent in Blackwater, Jack ultimately discovers Ross hunting on a riverbed in Mexico. The two decide to have a lethal duel to settle matters once and for all. Jack kills Ross and walks away, having avenged his father.