The story is a continuation of the events depicted in the game Persona 4 Arena and begins the day after it concludes. The Midnight Channel is back on the air and once again broadcasts a strange advertisement for another fighting tournament christened P-1 Climax, that shows members of the Investigation Team and the Shadow Operatives in combat. Just moments after this, Inaba is subject to a power outage and is engulfed by a bizarre red fog.

(Source: Megami Tensei Wikia)