BioShock Infinite is set in 1912, prior to the events of the first two BioShock games, though it has little to do with the plot of the previous games. The primary setting is a city suspended in the air by giant blimps and balloons, called "Columbia". Unlike the secret development of the underwater city of Rapture, Columbia was proudly boasted by the American government when launched in 1900, centralized on the idea of American exceptionalism. Between its launch and the game's events, the well-armed city became involved in an "international incident", and the location of the city was soon lost from everyone else. Like Rapture, Columbia is considered a failed utopia, with signs present suggesting a theocratic government taking control at some point, and similar racial-purification concepts such as nazism. Columbia has been compared to a cross between steampunk and the Star Wars Bespin cloud city, as well as the airships of Final Fantasy settings.

The main character is Booker DeWitt, a former, disgraced agent of the Pinkerton National Detective Agency. He is hired by individuals, aware of Columbia's location, to invade the air-city and rescue Elizabeth, a woman that was abducted as a girl and has been in the air-city since. Though he finds Elizabeth easily enough, DeWitt quickly discovers that Elizabeth is central to the city's conflict, forcing DeWitt and Elizabeth to trust each other in order to escape.