Prior to the events of the game, Penelope and Bentley became a couple and would work on various projects, with their biggest one being a time machine. However, one day, Penelope would just up and disappear, with no clue as to her whereabouts. Bentley searched for her until he saw that the pages of the Thievius Raccoonus were disappearing, so he stopped and got the team back together to fix the book.
It wasn't until the gang got to Medieval England that they would catch wind of Penelope again. It was the Black Knight that was in control of this time period and during one of Bentley's jobs, it was revealed the Black Knight was indeed Penelope in disguise. It was her that stole Bentley's plans for the time machine and gave them to Le Paradox.
When the gang defeated her in the final battle, she revealed that she betrayed everyone for money and that her intention was to double cross Le Paradox. She wanted to prove to Bentley that the two of them together had the potential to rule the world with their inventions. She also mentioned that Sly was getting all of the credit for Bentley's hard work and that he was being held back by Sly's beliefs.
She was arrested and put in Paris' highest security prison, only to escape. She would then send postcards to Bentley, with a emblem resembling a mouse, almost like a calling card. Her current whereabouts are unknown.
