Rocky Legends has six different gameplay modes to choose from including Career, Exhibition, Tournament, Survival, Training, and Practice. Players can also use their in-game winnings to buy and unlock extras.

Career mode allows the player to select one of the major characters of the first four Rocky films. Each character has a story of how they rise to the top of the boxing world. They all remain true to the canon of the Rocky films except for Ivan Drago's story, which differs in the match against Rocky Balboa.

A training mode is included in Rocky Legends. Training can be done in freeplay or career. While training in career mode awards the player points to upgrade their character based on how well they trained. This gives the player a chance to change how the stars of Rocky fought as the player is allowed to decide which stats to raise. Training in freeplay can be done both alone and with another player competitively, however this has no effect on the character's stats.