Continuing on from where Persona 4 Arena left, the Midnight Channel is back on air and once again broadcasts a strange advertisement for another fighting tournament christened P-1 Climax, that shows members of the Investigation Team and the Shadow Operatives in combat. Just moments after this, Inaba is subject to a power outage and is engulfed by a bizarre red fog. Furthermore, figures that look suspiciously like Mitsuru Kirijo, Aigis and Akihiko Sanada being crucified are shown on TV. While the Investigation Team attempts to figure out what's going on, Junpei Iori and Rise Kujikawa becomes trapped in the red fog, while Labrys, Ken Amada, Koromaru and Yukari Takeba ride on a helicopter to see the fog engulf Inaba.

With the playable characters' number raised up to 21, the story is split between two campaigns: "Episode P4" focuses on the Persona 4 characters, while "Episode P3" follows those from Persona 3. Completing both campaigns unlocks the game's true ending as part of "Episode P4".

[Edited from Megami Tensei Wiki]