Persona 4 takes place in the same universe as Persona 3 in a rural town named Inaba. There have been mysterious murders occurring whenever there was fog after heavy rain. There were also rumors about a channel on television airing only at midnight called Mayonaka TV, during which it is said that one can see his/her "other half" when staring at the TV screen. After hearing about a recent unsolved murder which occurred during the fog, the characters—the main character, Chie, and Yōsuke—discuss how each of them had attempted to watch the mysterious TV channel and witnessed the murder victim. The protagonist later realizes that during midnight when the channel is on, his body can phase into his television set as a gateway to enter another world infested with shadows. After discovering this, they all decide to explore. When first completely entering the world, dazed and confused, the main character meets Teddie. Mayonaka TV and the town murders seem to have a connection. The murder victims may be merely victims of Mayonaka TV. Everyone decides that they will together try to solve the mysterious murders by exploring the hidden world of Mayonaka TV. After the closing events of Persona 3 on January 31, 2010, Persona 4 starts April 11, 2011, Putting the start of Persona 4 fourteen months after the end of Persona 3, this is also evident by the appearance of an older Chihiro, who is now a 3rd year student.

A teenager who was orphaned as a young boy returns to the city of his childhood. Shortly after transferring to Gekkoukan High School, he is attacked by Shadows — creatures that feed on the minds of their victims. The assault awakens his Persona, Orpheus, his only chance at defeating these creatures of the night. He soon discovers that he shares this special ability with other students at his new school. From them he learns of the "Dark Hour," a hidden time that exists between one day and the next, swarming with Shadows. He joins the Specialized Extracurricular Execution Squad (SEES), and with his new friends, confronts the threat of the Shadows.
After signing a contract in which he "accepts his fate of his own free will," the main character battles with the other members of SEES against the Greater Shadows, incarnations with traits and appearances similar to those of the first 12 Major Arcana of the Tarot. While this is occurring, he continues to encounter and eventually befriends the child who gave him the contract to sign at the very beginning of the game, an entity who refers to himself as Pharos, and is really the incarnation of Death, the 13th Arcana.