*A few months after the first Bayonetta, Bayonetta is shopping on Christmas Eve with Enzo when angels suddenly attack New York City. Teaming up with fellow witch and friend Jeanne, she is on the verge of winning until a demon summoning goes wrong.

Jeanne saves Bayonetta from the familiar's attack, but the attack causes Inferno to claim her soul. Bayonetta destroys the demon and resolves to save Jeanne.

At the same time, a masked Lumen Sage is brought to the present by a mysterious figure, known as the Prophet, who promises him the chance for revenge. Upon a tip from her informant Luka, Bayonetta heads to the mountain of Fimbulventr, in the city of Noatun, which houses an entrance to Inferno.

In Noatun, she meets a boy called Loki, who is trying to reach Fimbulventr for reasons he cannot remember. The two strike a deal to travel together as Loki claims his powers will be needed in order to reach Inferno. On the way, they learn about some of Loki's lost memories, but are constantly attacked by angels and demons.

Loki is hunted by the Lumen Sage and the Prophet, who knows Loki. There, they encounter Luka, Bayonetta’s acquaintance and news journalist.

Luka explains to them the Legend of Aesir: Aesir was once the ruler of the Chaos realm, and has created the Left Eye of Darkness and Right Eye of Light (also known as Eyes of the World) to humanity to grant humankinds free will.

Both eyes were entrusted for ownership and safekeeping by both the Lumen Sage and Umbra Witch clan. Due to the death of the allegedly last Lumen Sage, Father Balder by Bayonetta and Jeanne, the Right Eye of Lightness had disappeared, which prompted Luka to investigate the consequences to the planet, and if it is connected to the natural disasters that has been occurring.*