The movie starts with Max Payne (Mark Wahlberg) struggling to surface in a frosted river while also narrating. The film then cuts to one week earlier, showing Max working as a clerk in the cold-case unit and his obsession with finding the fleeing killer who brutally murdered his wife, Michelle, and newborn daughter. Max then attends a party run by his snitch, Trevor Duncan, where he meets Natasha Sax (Olga Kurylenko) and her sister, Mona (Mila Kunis). Natasha and Max go back to his place where she demonstrates her desire to have sex and even offers to act as Max's deceased wife. An upset Max asks Natasha to leave and while she is walking in a alleyway and talking to her drug dealer on the phone, she is hunted, attacked and killed by a mysterious flying entity.

The next day, Max goes with his former partner Alex Balder (Donal Logue) to investigate her murder. Alex then reveals Max's wallet was found at the crime scene and that he is the prime suspect. Back in his office, Alex discovers that a tattoo of wings found on Natasha's arm is similar to the one on the arm of one of Michelle's murderers, killed at the crime scene. He tries to call Max to reveal his finding, but in vain as he's answered by his voice mail. Max receives his message and rushes to his apartment, only to find Alex dead. Suddenly, he is attacked and thrown around until he blacks out. Max wakes up in hospital beside his mentor B.B. Hensley (Beau Bridges). Max goes to Alex's house to offer his condolences but is forced to leave by his wife Christa Balder (Nelly Furtado), stating that Max has always pushed away everyone who ever cared about him. Later, Max again meets Mona Sax, who believes he killed Natasha, but Max convinces her that they are both looking for someone else. After storming into Alex's precinct and searching through his partner's investigation files, Max learns that a man named Owen Greene was the last person Natasha called before her death.
 

The drug was created by the joint effort of the US Military and the pharma company named as "Aesir's" which developed a stamina-enhancing drug for soldiers. But the drug has alot of side effects and it only worked in 1% of the test subjects and the remaining suffered severe traumatic hallucinations about demonic creatures - The ANGELS with wings.

Mona later finds Max in a abandoned warehouse, watching the video inside Colvin's package. It is revealed that Aesir Pharmaceuticals was the company manufacturing Valkyr for the military. It was a drug created for the purpose of enhancing a soldier's ability in combat and to control their fears. It is also revealed that, before becoming unstable and a rampage killer, Jack Lupino was a former sergeant who volunteered for Valkyr testing; in the video interview, Lupino stated that "he felt invincible" and "suffered no side effects". Before he can, he is shot dead by B.B.. While leaving Ragna Rock with B.B., Max is knocked unconscious by B.B.'s assistant. Max is then showed walking handcuffed between B.B. and his assistant, who confesses he is the lead manufacturer of Valkyr and the runaway killer that Max has been searching for. B.B. and his partner then attempt to eliminate Max. Making him look like an drug-addicted suicidal by slipping two vials of the Valkyr drug in his jacket pocket, and then attempting to drown him in a freezing river. Max sinks to the bottom as we saw in the opening scene of the movie, but only the thought of his wife and daughter give him the strength to struggle and he barely makes it out alive. In order to combat freezing to death, he ingests the two vials of Valkyr that B.B. had earlier put in his jacket. The effects are felt immediately as he revives his strength and anger and hallucinates with the demonic winged creatures as seen by Valkyr-consuming subjects, which are revealed to be the mythological Valkyries.

A strengthened and berserk Max then rushes to Aesir Pharmaceuticals to kill B.B., but amidst all the shooting and due to his increasing hallucinations, Max is almost killed by one of B.B.'s security team members, before Mona arrives, saves Max and offers to hold the rest off until he reaches his former mentor. B.B. has arranged a helicopter to evacute him while his assistant tries to blow up the rooftop access with explosives. Mona fatally wounds the assistant, but he still manages to blow up the floor he is on. Max catches up with B.B. and, despite being shot twice, he shoots B.B. dead. Max then slumps near the edge of the building and the dark, snowy, cloudy city sky is now clearing up and the sun appears shining on Max's face. He then experiences a flashback of himself, his wife and daughter and the film ends with Michelle saying "Not yet, Max."