A group of five villains, known as the Fiendish Five, broke into Sly Cooper's home, killing his father and stealing the Thievius Raccoonus. Because of this, he was put into an orphanage, where he would meet his lifelong friends, Bentley and Murray. They would form the Cooper Gang and end up pulling all kind of heists, with the ideal that they only steal from other thieves.
Their main goal was to go after the members of the Fiendish Five, take them down and retrieve the Thievius Raccoonus from them.
