The game begins a day after the conclusion of Persona 4 Arena, in the fictional rural Japanese town of Inaba. Unlike in the previous game, which focused on the TV World, the events of Ultimax occur 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 Persona 3 such as Moonlight Bridge, Club Escapade, and Tartarus.

All 13 playable characters featured in Persona 4 Arena return in Ultimax. Eight new characters, five of whom were introduced in console version, were also added to the roster: 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, Theodore from Persona 3 Portable, and Nanako and Ryotaro Dojima from Persona 4, appear in a non-playable capacity.