Two years before the events of Lego City Undercover, Chase McCain, a rookie cop working for the Lego City Police Department, has one objective in mind: to put the most wanted man, Rex Fury, in jail. To do that, he has to go to every region of the city to find the wanted man in question.
As far as story connections go, it was Chase who accidentally revealed that Natalia Kowalski, his girlfriend who previously worked as a news reporter turned out to be the secret witness in the Rex trial, which forced her to go under witness protection. As a result, Chase was eventually exiled from Lego City, but not before he attempted to fix his mistakes by pursuing Rex and the criminals that work for him. It also outlines how Chase managed to arrest Rex Fury. Furthermore, the game reveals that Mayor Gleeson, a character also featured in Lego City Undercover, was formerly the chief of police, and how Chief Dunby was just a deputy officer.