Grand Theft Auto Advance is an action-adventure game set in an open world environment and played from a top-down perspective. The game had to be adapted to the Game Boy Advance's hardware limitations. As a result, it does not have animated cutscenes, nor does it have Grand Theft Auto III's much-lauded pedestrian dialogue. All cutscenes are text-only with hand-drawn pictures of the characters' faces, with a thematic backdrop behind. The art style is consistent with that used for the cover and loading art of the three-dimensional releases in the series. Replacing the pedestrian dialogue, some soundbites taken from Grand Theft Auto III are played when the player hits someone's car. Short police radio voiceovers will announce the player's location and vehicle type when the player commits a crime.

The game does not feature radio channels. Like the Game Boy Color ports of Grand Theft Auto and Grand Theft Auto 2, each car has one fixed tune that is constantly repeated and cannot be changed. These include parts of some familiar Grand Theft Auto, Grand Theft Auto 2 and Grand Theft Auto III tunes, in instrumental versions. Despite this, billboards for the radio stations featured in Grand Theft Auto III can be seen throughout Liberty City.