Many people mistake him as Russian, vaguely "Eastern European" or something else, but it's rather obvious by his name and native language which he utters throughout the game, he's Serb.
A veteran of the Yugoslav Wars (see: Bosnian war) in which he participated during his teenage life, Niko has a bitter and cynical perspective of the world because of a long history of suffering and betrayal at the hands of others.
He's a no-nonsense, business-oriented guy who's overly protective but perhaps a little paranoid as well.
After his army unit is wiped out in an ambush due to an unknown informant (later revealed to be a member of the unit itself) and at the invitation of his cousin, Roman, he comes to Liberty City in the US, where he's promised a lavish and rewarding life of luxury.
This is where the game kicks off, leaving the player largely to their own devices and free to mould Niko into either: a brutal, psychopathic and cunning hitman who exacts revenge on everyone who betrays him OR a repenter who eventually sees the bright side of life.
The game essentially details Niko's dealings and relationships with the various criminal organisations of Liberty City like the Russian Mafia.
However, there's is so much more to the story it's impossible to explain it all in one definition.
Niko Bellic: "How would you like to die?"
Michael Hollick voices Niko Bellic in GTA IV.
McReary: Great, I can get rid of these now. I feel like a new man. Not many people get a second chance like this. Thank You
Niko Bellic: Your Sins Absolved, I guess...?