The Orient Express is about to depart from Paris to Constantinople. As the train slowly begins to move away from the station, a young, courageously looking man jumps on it from his motorcycle and makes his way inside. This man is an American doctor named Robert Cath, escaping from authorities as a suspect in the murder of a policeman. In the train, he finds the dead body of the person he was supposed to meet. Now he has to act quickly. The only way not to arise the suspicions of the police is to disguise himself as the murdered man. A very dangerous investigation begins, and the hero soon finds himself involved in a deep net of personal intrigues and political conspiracies.

The Last Express is a real-time adventure game set in 1914, shortly before the outbreak of the World War, in a concrete historical and geographical environment. The game uses a simple point-and-click interface for interacting with people and objects, and navigating the character from a first-person perspective through pre-rendered backgrounds. From the moment the player gains control of Robert Cath, time begins to flow. If the player fails to solve a part of the mystery until the train arrives at the next station, certain events the player was supposed to prevent will occur, ending the game prematurely. It is impossible to permanently die in the game, as the player has the ability to rewind the clock in order to replay a specific period of time.

The player is for the most part free to explore the train, and the story progression has a certain degree of non-linearity. Characters follow their own schedules, frequently moving between locations, talking to each other, and generally acting independently of the player's input. The player can decide to interrupt conversations, remain unnoticed, or openly follow characters and witness their activities. For example, at a certain moment in the game's timeline two characters will perform a classical sonata for violin and piano; the player can opt for staying and listening to the performance, or use the time to explore other locations. Along with detective work and a few inventory-based and logical puzzles, the player's main task in the game is to eavesdrop on people's conversations, talk to characters, and solve the mystery by finding out more information about the bizarre case. There are also several timing-oriented fighting sequences in the game.

The game's visuals resemble "art nouveau" style that was prominent in the historical time period described in it. The similarity to the style is achieved by using rotoscoping technique. Actors wearing distinctive make-up and costumes were filmed against a bluescreen, digitized, turned into black-and-white frames and colored by hand. The game is also notable for including authentic dialogue recorded by native speakers of several languages (French, German, Russian and others), with English subtitles displayed.