The object of Snowball Run is to beat all 75 levels spread over three stages; beginner, intermediate, and advanced. There is a time limit to beat; points are awarded based on how far under it you are. There are also fish to collect for points.

You are a penguin riding a snowball in what seems to be some sort of amusement park in the sky. Visually, there are elephant balloons, roller coasters, merry-go-rounds, and candy stores.

Gameplay hazards include ramps, holes and barriers. If you hit a barrier hard and do not quickly adjust your course, it is possible to fall out of a level, losing a life automatically. The lack of direct contact between yourself and the surface makes it harder to change direction quickly.