In The Captive, the player is trapped in the Glen of Colored Corpses and must escape. Players starts in the town located on an island, and they are free to travel around the island. Locked doors are scattered around the island, and correct, color-coded keys, also scattered around the island, are required to unlock them. Also, one of the "Messengers of Doom" will appear, move around, and then disappear. If the player touches one of them, then the game ends.
Many items and scrolls are scattered around the island, and only three of these objects can be carried at the one time. Some of the items include a crucifix, a gun, a shovel, mushrooms, and an helicopter. Some items, such as the gun and helicopter, cannot be used until the correctly filled-out scroll is carried. When the scroll is carried and utilized, the scroll tells the player what item that they can now use.
Pressing the Fire button brings up a menu, allowing the player to do nothing (if they accessed the menu by accident); pick up, use, drop, or stop using items; perform a special ability; or quit the game. Choosing to quit will cause the game to perform a count-down as confirmation. If the count-down is interrupted by the player, then the player is returned to the game. If the count-down reaches zero, then they are returned to the title screen.
Food is scattered on the island, and eating food causes the player's energy to increase. If energy reaches zero, the game will end.