I was on the 1853 Wild West mission and I had completed all the objectives except the one that says:

Story mode is a little short and really easy on the "easy" and "normal" settings, but background settings such as 1930's Chicago and the Wild West keep things interesting

The game is set in various places throughout time, including things like the Wild West, the Chicago Gangster era, cold-war era Soviet military installations, spaceports of the future and much, much more.

Nine time traveling episodes, each with their own distinct graphical style and mission objectives spanning time periods as diverse as the Wild West, Neo Tokyo 2019 and a Robot Factory in cold space.