Sly Cooper. Greatest thief in the world. None can match him for his speed, clever mind, and wit. However when a job goes wrong he finds himself in a world completely different to his own. However he didn't come over alone.
This is a crossover with Sly Cooper and this takes place after the third game. I haven't played the fourth game yet so this is technically out of canon for both worlds. You will not have needed to play the games to understand what's happening with the characters of Sly Cooper in their world or in Equestria. I will explain things as the story progresses.