In 1928, Shinjiro Taiga departs from Tokyo to New York City at the request of his uncle, Ichiro Ogami, Commander of the Imperial Combat Revue. Shortly after his arrival, Shinjiro witnesses a bank robbery being thwarted by Gemini Sunrise, a samurai cowgirl. He is mistakenly captured, but is soon bailed out and taken to the Littlelip Theater, where he meets his captain, Ratchet Altair, and the Star Division's commander, Michael Sunnyside. Later, Shinjiro and Gemini meet again in Midtown Manhattan and head to Greenwich Village, where his apartment is located. Ratchet introduces Shinjiro to the rest of the Combat Revue, including Sagiitta Weinberg and Subaru Kujo. It is then revealed that Ogami was originally supposed to be stationed in New York in Shinjiro's place. Sunnyside assigns Shinjiro the role of usher until further notice. During a visit to Central Park, Shinjiro meets Diana Caprice, who helps him get accustomed to the city.
As demonic threats begin to emerge, the New York Combat Revue confronts forces led by Ranmaru at the Statue of Liberty. During the battle, Ratchet is seriously injured, prompting Shinjiro to take command. After stopping Ranmaru's invasion, Shinjiro is named Captain-in-Training, while Ratchet becomes Vice Commander. As the group continues to battle powerful demons allied with Ranmaru, Shinjiro becomes deeply involved in the lives of his teammates. The Revue expands to include Diana and Mexican bounty hunter Rikaritta Aries. Through these experiences, Shinjiro earns their trust and can potentially form a romantic relationship with one of them.
Gemini officially joins the group after her ties to a warrior clan called the Five Star Warriors are uncovered. Her sister Geminine, who exists as an alter-ego within her, seeks revenge on Ranmaru for destroying the group. Shinjiro manages to dissuade Geminine from pursuing vengeance. Following another battle with Ranmaru, Geminine retreats to rest within Gemini after exhausting herself in the fight for control.
After Christmas, Ranmaru’s master, Oda Nobunaga, appears and raises Azuchi Castle in an attempt to conquer New York. The Combat Revue boards their airship, the Ahab, and storms the castle, destroying what remains of Ranmaru’s mechanical forces. During the confrontation, Shinjiro is seriously wounded by Nobunaga. Upon recovering, he rejoins the team to defend the Littlelip Theater from a new attack. Soon after, a mysterious realm known as the Sixth Heaven appears over the city.
Determined to defeat Nobunaga without resorting to the Five-Ring Mandala—a method that requires a human sacrifice—Shinjiro is officially promoted to Captain and leads the final assault. The Star Division defeats Nobunaga, who then chooses to reside within Shinjiro to learn more about humanity. Shinjiro accepts, and Nobunaga vanishes, his castle dissolving into a cascade of cherry blossoms. The game’s ending and final celebration vary depending on which member of the Combat Revue Shinjiro may have formed a relationship with.
