Gun features a free-roaming (open world) environment, including side-missions that add to the story of the game. Gun is played by controlling Colton from a third person perspective, playing much like a traditional third-person shooter. Players can wield a revolver and switch between rifles, shotguns, various handheld explosives, and bows. Throwing knives are available in Gun Showdown. Attacking and killing enemies fills up a "Quickdraw" gauge, which when activated slows down time, switches to a first-person perspective, and gives the player unlimited ammunition for a short duration, allowing the player to take on a significant number of enemies.
The player is free to roam the game world on foot or riding a horse, taking optional missions as one pleases as a typical sandbox game. As the player progresses through the game, they can opt to complete side-missions, including poker tournaments, cattle herding, law enforcement and bounty hunting. Using money obtained from these side-missions and finding gold veins, players can purchase upgrades to their items. Gun was marketed through the use of "Last Call Poker" an alternate reality game from 42 Entertainment.