The story takes place in 2009 and is set in the Japanese city of Tatsumi Port Island, which the Kirijo Corporation built and funded. Experiments conducted ten years prior to the game's events created the Dark Hour, a period of time that exists between days. During the Dark Hour, most people are turned into coffins and are unaware of it; however, there is a select group of people who are. As well, reality is warped; Gekkoukan High School, where most characters attend school during the day, becomes a labyrinthine tower called Tartarus, where monsters called Shadows roam the area and prey on the minds of those still conscious, leaving them in near-catatonic states outside of the Dark Hour. The "Specialized Extracurricular Execution Squad," or SEES, was formed by a group of high schoolers to investigate and learn about the Dark Hour, Shadows, and Tartarus. They are capable of summoning beings called Personas to combat Shadows, which the instruction manual describes as being "a second soul that dwells deep within a person's heart. It is an entirely different personality that emerges when a person is confronted with something from outside this world." Persona users usually summon their Persona by firing a gun-like object called an Evoker at their head.

After learning of your ability to summon a Persona, you join SEES, whose members include students of the school: Yukari Takeba, a popular and cheerful girl; Junpei Iori, a class clown and his best friend; Akihiko Sanada, a calm and collected senior and the leader of the school's boxing team; and Mitsuru Kirijo, the president of its student council and daughter of the Kirijo Group's leader, who provides support during battle.