A young physics professor named Lester conducts a particle experiment. Suddenly, something goes wrong, a lightning strikes, and in a moment Lester finds himself in a strange alien world. Now he must fight for his life, first with his bare hands, then with a gun he finds. But what gives him courage is that he is not alone. One of the aliens who escapes from the prison together with him helps him on his dangerous quest. Friendship can overcome all the obstacles.

Out of This World combines shooting, platforming, and puzzle-solving elements. The game is divided into stages; some of them are straightforward and can only be accessed one time, while others are connected to each other, constituting a larger environment. Exploration and problem-solving are emphasized. Many levels include challenges not seen in the previous ones. Tasks may involve environmental puzzles, timed sequences, precise jumping, and combat.