Episode 2: A Starry Eyed Encounter
In Episode 2, the explored area was Rajan's Palace, a luxurious, ancestral palace bought by Rajan to impress his hosts. Sly and the gang infiltrated the Palace in order to recover the Clockwerk Wings. Once they succeeded, Carmelita, who was working undercover to expose Rajan, revealed her disguise and started arresting people. Rajan fled his palace with his reputation ruined.
After these events, Sly and his gang take a short holiday at India, dancing with Bollywood stars (they had to put extra effort to fit Murray in), but Sly recollects that it was worth it.
Episode 3: The Predator Awakes
In Episode 3, the explored area was Rajan's Spice Temple, an old temple that Rajan had converted into the center of his spice operation. Sly and the gang infiltrated the temple to recover the Clockwerk Heart and stop Rajan's plans. Once they succeeded, Rajan was arrested and the temple closed down.
Before Sly Cooper and the Thievius Raccoonus
Carmelita and Sly discuss the Firestone of India, and Carmelita finds out that Sly Cooper was responsible for the theft, prior to the events of the game, during the tutorial mission.