Continuing after the events of The Room Two, the player character has escaped the home of "AS" before being consumed by the entity from Null. The main character writes a diary indicating that he is haunted by the events of Room Two and tries to find answers through the Royal Academy. The Wall Street Journal also notes that he finds clues that lead him to a strange island. He takes a train to the island. As the train goes through a tunnel, a strange box appears in his compartment with a pyramid with strange etchings. When the train goes through the next tunnel, the player character is mysteriously transported to Greyholm, an island estate not far from the English coastline in the English Channel. A series of notes tells the character that he was brought here by the "tinkerer," who also claims to have created the puzzles in the previous game and is impressed by the character's ability to resist Null. He wants to free Null with the help of the player character and instructs him to collect four additional Null Shards, the same pyramids he collected on the train, which will help him obtain the Tinker's key and open the exit to Grey Holm.

The game has four different endings. If the player ends up collecting only the Artisan's Key, he will guide his character towards Grey Holm's Tower and use the key to open an exit back to the train. However, after getting on the train, he finds a new note from the tinker indicating that it is a trick and that his soul will be trapped forever. The camera pulls back to show the train running on the tracks in the infinite maze of the Grey Holm globe (the "imprisoned" ending).

If the player solves additional puzzles in Grey Holm, a mechanical clairvoyant named Mystical Maggie will help the player by revealing that The Craftsman intends to use the player's soul as a sacrifice to the Null element; additional notes reveal that Maggie was once human and was also lured to Grey Holm by the Craftsman. Interacting with Maggie can provide additional clues to more devices, such as the Craftsman's key. Depending on how the player uses these devices in the tower puzzle with the Craftsman's Key, the player character can escape Gray Holm and watch it be destroyed by the Null entity ("Escape"), escape Gray Holm and watch the Null entity be released to face the world (" Release")

The Room Three, its predecessor, is an escape room game in which players solve puzzle boxes and other similar puzzles to reveal new secrets and puzzles to reach the game's conclusion. The game is presented in a first-person 3D perspective, allowing the player to look around the room from one location or rotate the view around a puzzle box or similar object. Elements of the object can be interacted with, such as pressing buttons, inserting and turning keys or sliding sections. Items can be collected and examined from the player's item bar, many of which include manipulating the item to reveal secret rooms and more.Like the previous games, The Room Three has a number of puzzles Null consisting of classic elements that can distort reality. The player character has a special goggle that he can wear to see through the Null and reveal hidden clues or puzzle pieces. The Room Three introduces an additional lens to this goggle that allows the player character to manipulate objects in small spaces such as keyholes.

The Room Three is built around a central hub area and has four main areas that can be accessed through this area.  The central hub is scattered with optional puzzles that can be solved to reach one of the game's alternate endings.