The story begins with Bayonetta and Jeanne bringing the pain to the angels of Paradiso as usual. Unfortunately, things take a turn for the worse when one of Bayonetta's summons breaks free of her control and attacks her, leading to Jeanne sacrificing herself to save her and her soul being dragged into Inferno.
Bayonetta immediately sets out for the legendary mountain Fimbulventr, said to house mythical gates to both Paradiso and Inferno, in a race against time to rescue Jeanne before her soul is lost forever.
Unlike her first adventure, the balance between the trinity of realities has come undone, causing angels and demons alike to get in her way.
In the midst of the chaos, Bayonetta befriends a bratty youth named Loki, who is struggling to reach the top of the mountain for reasons even he's not sure of. Loki possesses mysterious powers and a cloudy memory that may be the key to saving the world.