The comic will be penned by Rockstar co-founder Dan Houser, as well as Sam Lake, the scriptwriter for the first two Max Payne games.
Published in partnership with Marvel, the first title is called 'After The Fall' and will be available for free digitally from Rockstar's Newswire and the game's official website.
The three-part comic, which explores the events leading up to Max Payne 3, will also be accompanied by a limited edition print run, although price and dates are yet to be revealed.
Max Payne 3 sees the titular character begin a new life as a private security contractor in Sao Paulo, Brazil.
Achievements and Trophies for the action title, which cover both the campaign and online multiplayer, were unveiled last week.
In addition to the game's single-player campaign, its online multiplayer features maps and modes that dynamically change within a match, as well as reward, ranking and clan systems, called Crews.
Crews formed in multiplayer will carry over into future Rockstar Games including GTA 5.
An iOS version of Max Payne was recently released. Android ports will follow later this month.
Max Payne 3 will be released in North America on May 15 and Europe on May 18 for Xbox 360 and PlayStation 3. The PC version releases on June 1.
> Read our preview of Max Payne 3
Watch a trailer for Max Payne 3 below: