Nine years before the story proper, in a snowbound North Yankton town, three men rob a security depot and it goes wrong in every way it can. The crew takes roughly $180,000 out of the building and loses control of the escape almost immediately: a firefight, a collision with a freight train, and a scattering of the crew across open country.
What the mission is really doing is setting up a debt. Michael and Trevor are both playable here, which is the game's first statement that this is a story about more than one man, and the events of the opening are what the rest of the campaign spends fifty missions paying for.