Taking place three years before the TV series, episode zero follows Hiroomi Nase's mission to subdue the infamous half-human, half-youmu Akihito Kanbara. Curious about the mission, Hiroomi's little sister, Mitsuki, tags along with him, and the siblings meet Akihito for the first time. However, they soon discover that they aren't the only ones seeking out Akihito, and thus begins the story of Kyoukai no Kanata.

After a strange dream of a mysterious ancestor, high school student Yuuko Yoshida wakes to see that she has grown demonic horns and a tail. Dazed and confused, her mother reveals to her a dark family secret: her family is descended from a Dark Clan that was banished to live powerless and destitute by their mortal enemies, the magical girls of the Light Clan. The only way to lift their ancestry's curse is for Yuuko to find a magical girl, murder her, and splatter her blood all over her ancestor's Demon God statue. Fortunately for Shadow Mistress Yuuko, a magical girl saves her from being run over by an oncoming truck. Unfortunately, Momo Chiyoda happens to be Yuuko's classmate at Sakuragaoka High and is much stronger than her in both strength and endurance. Taking pity on her wimpy assailant, the magical girl agrees to train Yuuko and help her unlock her dormant powers. Now, Yuuko must rise up and defeat her generous frenemy to save her family from the terrible grip of poverty.

At the stroke of midnight, the Dark Hour appears—a secret hour which most are unaware of. Those not trapped in coffins during this time, unfortunate enough to find themselves conscious, are met by dangerous creatures known as Shadows. A select few, however, possess the potential to wield Persona: a special power used to defeat these beings. This secret group is called SEES (Specialized Extracurricular Execution Squad), and their mission is to uncover the reason behind the Dark Hour's appearance. Only a short while after transfer student Makoto Yuuki begins his residency at Iwatodai Dorm, his Persona awakens after an attack by a strong Shadow. Now recruited into the ranks of SEES, he begins fighting alongside his comrades, as only they can protect humanity from Shadows and prevent the anomaly that is the Dark Hour.

High school student Yumeji Fujiwara has the ability to see people's dreams. Despite the visions never appearing clear or concrete, he is able to predict them by sensing the person's aura. Normally, this skill is a fun trick to play on his classmates, but Yumeji only ever sees himself having the same nightmare every night. To his surprise, the nightmare continues in the middle of the day even before Yumeji has fallen asleep. The unexpected event was triggered by a dream demon—an inhabitant of the world of dreams who wants to use Yumeji's body as a vessel to fully enter the real world. However, Yumeji is saved by the timely arrival of Merry Nightmare, another dream demon who can somehow physically manifest without a host and is instead trying to return to her own realm. As more dream demons continue to push into reality, it is up to Yumeji and Merry to fight back against the invasion before everyone's nightmares materialize.