The Phantom Pain is structured in a very organized manner, making it so you know exactly what you're doing. A majority of the game's content takes place during missions, with the game splitting them up into Main Missions, focusing on the story, and Side Ops, or side missions. In between doing these, you have the option to do many things.
You can explore the maps of both Afghanistan and Africa freely in between missions, where you can capture some enemies for Mother Base, find collectibles as well as a few other miscellaneous tasks. During free roaming, you have the option to call in a helicopter support to either return to Mother Base or operate from your Aerial Command Center (ACC). Whenever you choose a mission, whether main or side, you get to pick the equipment and other things you want to bring along with you.