In a multiplayer game, if you gain control of an opponent's creature and they leave the game, what happens to the creature?

When a player leaves a multiplayer game, all objects that player owns that are in the game also leave the game (CR 800.4a). Ownership is key here — a card's owner is the player who started the game with it in their deck (CR 108.3). Control is a separate concept from ownership.

So if you gained control of an opponent's creature through a spell or ability, and that opponent then leaves the game, the creature they own leaves with them, because it is still their property regardless of who controls it at that moment (CR 800.4a). Your control effect does not override ownership for the purposes of leaving-the-game rules.

However, CR 800.4c provides an exception: if the effect that gave you control of the creature was a continuous effect with a duration, or if the creature has somehow become yours permanently (e.g., via a 'you own it' effect like Zedruu the Greathearted's gifts or a card that says 'gain control of it permanently and it becomes yours'), then the ownership question changes, and the creature could stay in the game under you.

Concrete example: You cast Control Magic on an opponent's Grizzly Bears. That opponent concedes. Since the opponent still owns Grizzly Bears, it leaves the game with them when they do, and Control Magic goes to your graveyard as it no longer has a legal target/subject.

In summary: in almost all cases, the creature leaves with its owner. Only if ownership itself was transferred to you (rare) would the creature remain in the game under your control.