After a botched ferry heist in 1899, the Van der Linde gang are forced to leave their substantial money stash and flee Blackwater. Realizing the progress of civilization is ending the time of outlaws, they decide to gain enough money to escape the law and retire. They rob a train owned by Cornwall, who hires Pinkertons to apprehend them. The gang perform jobs to earn money, as Dutch continually promises the next heist will be their last. Following a shootout with Cornwall's men in Valentine, the gang relocate to Lemoyne, where they work simultaneously for the Grays and Braithwaites in an attempt to turn them against each other. However, the families double-cross them: the Grays kill a gang member during an ambush, while the Braithwaites kidnap and sell Jack to Bronte. The gang retaliate and destroy both families before retrieving Jack from Bronte, who offers them leads on work, but eventually double-crosses them. Dutch kidnaps and feeds him to an alligator as revenge, which disturbs Arthur.
The gang rob a bank in Saint Denis, but the Pinkertons intervene, killing Hosea and arresting John. Dutch, Arthur, Bill, Javier, and Micah escape the city via a ship heading to Cuba. A torrential storm sinks the ship, and the men wash ashore on the island of Guarma, where they become embroiled in a war between tyrannical sugar plantation owner Fussar and the enslaved local population. After helping the revolutionaries kill Fussar, the group secure transport back to the United States and reunite with the rest of the gang.
Dutch obsesses over one last heist and doubts Arthur's loyalty after he disobeys him by liberating John earlier than planned, naming Micah his top lieutenant in Arthur's place. Arthur becomes concerned that Dutch is no longer the man he knew, as he is becoming insular, abandons their ideals, and murders Cornwall. He is faced with his mortality when he is diagnosed with tuberculosis. Arthur reflects on his actions and how to protect the gang following his death, telling John to run away with Abigail and Jack and openly defying Dutch by aiding the local Native American people. When the Pinkertons assault the camp, Dutch becomes paranoid that a gang member is working as an informant. Several gang members become disenchanted and leave, while Dutch and Micah arrange one final heist of an Army payroll train.
Arthur's faith in Dutch is shattered when he abandons Arthur to the Army, leaves John for dead, and refuses to rescue Abigail when she is taken. Arthur and Sadie rescue Abigail from Milton, who names Micah as the Pinkertons' informer before Abigail kills him. Arthur returns to camp and openly accuses Micah of betrayal. Dutch, Bill, Javier, and Micah turn on Arthur and a newly returned John, but the standoff is broken when Pinkertons attack. The player can choose to have Arthur aid John's escape by delaying the Pinkertons or return to the camp to recover the gang's money. Micah ambushes Arthur, and Dutch intervenes in their fight. Arthur convinces Dutch to abandon Micah and leave. If the player has high honor, Arthur succumbs to his injuries and disease and dies while watching the sunrise; if the player has low honor, Micah executes him.