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1. To continue one's game of golf while the party ahead of one pauses theirs and lets one pass. I knew we were going to be quite slow finishing our game, so we just let everyone play through. Excuse me, do you mind if we play through?
2. To continue to compete in an athletic even despite some injury. The pitcher played through a torn tendon sheath to lead one of the greatest postseason comebacks in the history of baseball. It wasn't a fantastic performance, but I know he was playing through a pretty bad shoulder injury.
3. To play some recorded piece of media from beginning to end. In this usage, a noun or pronoun is used between "play" and "through." I'll give you my feedback after I play the album through a couple of times. One of our Christmas traditions was to play the whole Back to the Future trilogy through every Christmas Eve.
play something through
to play something, such as a piece of recorded music, all the way through. I played the album through, hoping to find even one song I liked. As I played through the album, I didn't hear anything I liked.
[for golfers] to pass someone on the golf course. Do you mind if we play through? We have to get back to the courtroom by two o'clock. We let them play through because they were moving so fast.