Nicholas Van Orton (Douglas) is a successful businessman, but his success has come at the cost of his family life. When the movie opens, he is divorced, distant from his caring ex-wife and cold toward his only living relative, his kid brother, Conrad (Penn). Nicholas goes about life in a cold, detached manner and seems incapable of expressing emotion or caring for anyone outside of himself.
On Nicholas's 48th birthday, Conrad presents him with an unusual gift, a game offered by a company called Consumer Recreation Services, promising that it will change Nicholas' life. (The idea of Consumer Recreation Services seems to be borrowed directly from the G.K. Chesterton story "The Tremendous Adventures of Major Brown"). The nature of the game is unclear at first, but it appears to be a sort of live action role-playing game that integrates directly into the player's real life. After a full day of tests and a physical examination, Nicholas is informed that the game company cannot serve him. However, Nicholas soon discovers that this is false and the game has begun. The game focuses on a key moment of Nicholas' life when, as a child, he witnessed his father committing suicide by leaping off their family home, the same home Nicholas lives in. Significantly, Nicholas' father took his life on his 48th birthday, the same age as Nicholas is now.
As the movie progresses, evidence mounts that the game is actually an elaborate scheme, but each time Nicholas thinks he has uncovered the truth, he finds that a new layer of complexity has been revealed and that his previous assumptions were false. The Game quickly escalates into a no-holds-barred assault on everything Nicholas values, and his carefully ordered life and business empire rapidly disintegrate around him as The Game takes control. An employee of an upscale restaurant (Unger) at first assists him in escaping from the clutches of the CRS operatives, but after a series of narrow escapes and repeated attempts on his life, Nicholas is captured, transported to Mexico and subjected to a premature burial (albeit one he easily escapes from), all while having his bank accounts drained by the employee who was pretending to help him. The Game is now revealed to be an elaborate scam to relieve the power elite of their property and their lives.
Alienated from his friends and his trusted lawyer, Nicholas comes to a realization about his life and reconciles himself with his ex-wife, who has happily remarried and is pregnant with her second child. Nicholas soon becomes desperate and retrieves a hidden handgun from his home, where upon he heads directly into the offices of The Game company and takes one of the staff hostage. The movie comes to a climax on the roof of the game company's skyscraper. A jumpy Nicholas demands answers. The employee appears surprised by the gun, telling Nicholas that the game company thought they had replaced any real firearms Nicholas could access with fakes. A door opens, surprising Nicholas, and he fires without looking, only to reveal that he has shot his brother holding a bottle of champagne and dressed for his birthday celebration. Stricken with remorse, Nicholas leaps off the skyscraper and crashes through a glass ceiling, but he lands safely in an airbag. There he finds his family and friends awaiting his arrival and The Game is revealed to have just been a game. The accounts have not been drained, the gun was replaced with one firing blanks, and his brother is alive. As they embrace, Conrad confesses that he arranged the game as a way to shake his brother back to reality and make his brother enjoy life, to which the two break down in tears. Nicholas then offers to split the seemingly large cost of the game, to which his brother happily agrees.
As a party is in full swing with friends and family, Nicholas meets several of the guests who at all points, were operatives in the game in various guises. When he finds out that one employee is about to depart for the night, Nicholas runs outside and strikes up a conversation with her as the film ends.