The game takes place a week after the event of Persona 4 Arena, in fictional rural Japanese town of Inaba. Unlike in the prequel that focused on the TV World, the event occurs in the real world. However, due to the enemies' interference, Inaba is shrouded by red fog and turns into a labyrinth that mixes with the places of Shin Megami Tensei: Persona 3 such as Moonlight Bridge, Club Escapade, and Tartarus.
Eight new characters (five of which are exclusive to the console version) are added to the roster, which are Yukari Takeba, Ken Amada and his canine partner Koromaru, Junpei Iori, Rise Kujikawa, Tohru Adachi, Marie, Margaret and a brand new character, Sho Minazuki. Furthermore, many (though not all) of these characters feature a Shadow Type. Other characters, such as Fuuka Yamagishi from Persona 3 and Theodore from Persona 3 Portable, appear in a non-playable capacity.