The gang time travels back to the 1880s. Once there, the gang discovers that "Tennessee Kid" Cooper has been thrown in jail for his crimes. He was arrested by the insane Sheriff Toothpick, who is a mobster obsessed with gold. After Tennessee's arrest, Toothpick robbed the local bank of its gold, and later framed Tennessee for it. After Bentley explains to Sly that he needs to get himself arrested to help his ancestor, the gang gets ready to break Tennessee out of jail and stop Toothpick.
- Arc Villain: Toothpick.
- The Cameo: Once you reach a section where the enemies are throwing dynamite at you from a place with a windmill and a water tower in "Blind Date", you can look slightly above the windmill and see Clockwerk on top of a house.
- Clock Tower: The gang's hideout is in the town clock-tower.
- Foreign Queasine: Toothpick has his favorite lollipops shipped into town from Cuba and they are apparently rice-and-bean flavored.
- Get into Jail Free: The first mission is to have Sly arrested so that he could get to Tennessee.
- Nice Job Fixing It, Villain!: Bentley's plan for Sly and Tennessee escaping involved heavy use of the ball and chain the guards put Sly in. They also neglected to confiscate his cane.
- Noodle Incident: Sly implies that he partook in vandalism in Junior High.
- Signature Move: Tennessee's Crackshot technique allows him to focus hard enough to aim at multiple targets and shoot all of them near-simultaneously.
- Wham Episode: Carmelita Fox is there and (unwittingly) joins the Cooper Gang until their time-traveling adventure is over.
- Why Did It Have to Be Snakes?: Tennessee expresses multiple times how much he hates spiders and scorpions.
- The Wild West: The level is set in Cotton Mouth Bluff in 1884, a North America town. There are gunslingers, cowboys, train-tracks, giant scorpions, bulls, coyotes and jackalopes.
- Zero-Approval Gambit: Sly has build up a criminal reputation around Cotton Mouth Bluff so that he gets thrown in with Tennessee instead of the more common riff-raff. Naturally, the crimes all have something to do with offending Toothpick personally.