In this episode, Carmelita and Sly have been captured, and Bentley, Murray, and all of the previous ancestors all must work together to save them. The ancestors go around Le Paradox's blimp, each collecting the stolen cane for the next ancestor, after which, they are returned to their respective time period. After all of the canes are collected, "Tennessee Kid" Cooper shoots the container that holds Sly and Carmelita, releasing them, and then returns to the Wild West. A battle then takes place between Le Paradox and Sly, which destroys the blimp. The battle ends with Le Paradox stealing Sly's backpack, and in turn, all of his paragliders, and floating off of the destroyed blimp, but is immediately hit by a plane, causing him to fall to the waters below. Sly, on the other hand, is standing pensively on the doomed blimp...
The final confrontation between the gang and Le Paradox.
Sly goes missing, and after weeks of searching, he cannot be found. The fates of all of the main characters and villains are shown. Bentley, Murray, and Carmelita continue to search for Sly, knowing that he is still out there somewhere.
If you beat the game with 100% completion, you are rewarded with a secret ending that takes place after the credits. It shows Sly laying in the sand, with his cane next to him, in the shadow of a sphinx and two pyramids, suggesting that he has time traveled to Ancient Egypt.