The story of Icycle is set in a time when the entire world has been frozen solid, save for a man who was cryogenically preserved together with a bicycle and an unknown companion that flees the scene just before the game starts. The protagonist can only cycle forward and never move back, but he is still able to control his travel speed and time his jumps to avoid some of the dangers he will face during his adventure.

There are eight stages to play in total, each featuring three or four screens of landscape to traverse.