Metro 2039 will return players to the Metro system after Metro Exodus took the story into the wilderness beyond Moscow. The game follows a new protagonist, the Stranger, an exile coming back to a Metro now controlled by a centralized fascistic faction called the Novoreich, according to GamesRadar+.

Executive producer Jon Bloch told GamesRadar+ that this new setting changes the moral tone of the series. Where previous Metro games dealt in moral grayness around the player's choices, Bloch said Metro 2039 aims for clearer morality: "There is no hope, no future – except the one the Führer is promising to bring in," he said, adding that the game explores the consequences of war because "war is here."

Despite this shift, Bloch confirmed the series' hidden karma system—used in Metro 2033, Last Light, and Exodus to shape which ending players receive—is returning in some form. "The same idea of actions having consequences, that remains. We're just approaching it a little bit differently this time," he said, without detailing what actions affect karma. GamesRadar+ noted that during its preview, karma points did not appear to be indicated with a colored HUD effect as in earlier games, despite the reporter deliberately exploring dialogue, environments, and non-lethal takedowns.

Separately, GamesRadar+ reported that Metro 2039 is bringing back military-grade (MGR) 5.45x39mm ammunition as an in-game currency, a system used in Metro 2033 and Last Light but dropped from Metro Exodus. Bloch explained that MGR currency didn't fit Exodus' lore since that game took place far from the Metro system where the currency was established. "That is the currency of the Metro, so how could we go back to the Metro without having the currency come back as well?" he said.

The return of ammo-as-currency doesn't mean 4A is abandoning the crafting mechanics introduced in Exodus. Players will still be able to craft basic items like medkits and gas mask filters from their backpacks, and use Workbenches to build weapon components, clean weapons, choose protective suits, and upgrade gear. A new feature called Blueprints will let players craft bigger equipment and weapon upgrades once discovered.

Bloch also said the team responded to player feedback about resource scarcity in Exodus by allowing players to now collect resources from mutants, something not possible in the previous game. He described the combination of returning MGR currency with Exodus-style crafting as "the best of both worlds."