The story starts out with Black Shadow driving down a highway after losing a Grand Prix. Deathborn catches up to him and gives him one more chance to succeed but says it's the only other chance he'll get.
F-Zero GX's story mode continues with Falcon training for the Grand Prix, followed by racing his rival, Samurai Goroh, in a desert canyon and being forced to enter the bet race under the disguise of 'Famicom' (a reference to Nintendo's first home console). After winning said bet race, Falcon notices Black Shadow attacking the Lightning area on the news. Falcon makes his way to stop him, but is delayed by a group of thugs lead by Michael Chain. After dealing with Chain's gang, Falcon enters a facility to save Jody Summer. His escape is a close one as the core was set to overload and detonate, with said facility going into lock-down procedures. With Jody out of harm's way, he confronts Black Shadow. The evil overlord, with the help of Blood Falcon, binds Falcon and traps him inside his vehicle, strapping a bomb to the Blue Falcon that will detonate if the Blue Falcon goes too slowly. Falcon managed to survive, by driving the vehicle straight off an unfinished road and right under a crane, knocking the bomb off.
Falcon later attended the Grand Prix, where he emerged victorious. After receiving the champion's belt, he witnessed Black Shadow being punished by his master, Deathborn, for his incompetence. Deathborn challenges Falcon to a one-on-one race for ownership of both belts. Before said race occurs, Deathborn reveals his plan to take over the universe, revealing the energies of light and dark are condensed in each belt, and that when combined, provide ultimate power that will turn him into a god-like being, able to lay waste Falcon's galaxy in an instant. Falcon swears to take him down. Falcon stays true to his word, and Deathborn apparently dies. Both belts unite into one, and Falcon vows to keep winning so he can protect the belt from the forces of evil.
At his garage, Falcon is greeted by the creators. Falcon figures out the creators were behind everything, though they do not elaborate their motives. They challenge Falcon to a race, where, if they win, will rip out Falcon's soul and turn it into their creation, implying that he would replace Deathborn. Falcon defeats even them. Screaming, the creators disappear, though whether they actually die or decide to let Falcon go, honoring (but no less angered by) his victory is unclear. Falcon then removes his helmet and leaves the room, where the credits and an exclusive theme song begins to play. (The camera pans at a downward angle, so Falcon's face is not clearly visible. Only a portion of his head in the back is partially seen.)