Cave Wonders is a roguelike set in a cave. The player must explore a randomly-generated labyrinth in search of treasures, moving from screen to screen or by using teleporters. There are many enemies in the cave, which must be either fought or avoided, as well as treasure chests that contain useful items such as fire to destroy enemies, a small plane to move elsewhere in the room, and hearts to refill the player's health. There are four different caves to choose from, each with multiple difficulty levels, increasing the difficulty will increase the complexity of the generated cave, as well as the number of treasures that must be collected before the exit will appear.