Just don't get caught too. I don't want to be alone again.
― Bentley concerned about losing his friends once more[src]
Sly was contacted by a distraught Bentley, who informed him that Murray was captured by Carmelita while he was out looking for a snack. Sly was surprised that Carmelita had managed to follow them up north. However, since she was bound to check on Murray eventually, Sly reassured Bentley that he would find their friend if he could follow her without being seen. For fear of ending up alone again, Bentley warned him not to get busted too.
Sly tailed Carmelita across town until she led him to a strongbox Murray was locked away in. Carmelita approached Murray, who thanked her for the pack of jelly beans she gave him, also reminding her about her situation with INTERPOL. She explained that busting the Cooper Gang will prove her innocence and show everyone that Captain Neyla set her up. She then told Murray to hold tight while she went to go look for his friends.
As soon as Carmelita left, Sly approached Murray's cell. It was triple-padlocked, and Inspector Fox was holding all the keys. Murray also warned Sly that if he were to snatch a single key off of Carmelita, she would quickly take notice and chase after him. With Sly reminding him about his master skill at pickpocketing, he was positive he could pull it off. Once Sly stole the three keys, he returned to Murray and freed him. After thanking Sly for his rescue, Murray returned to the safe house, expecting to soon see Sly back there as well.