Nights of Azure follows the story of two childhood friends, Arnice and Lilysse, on the fictional island of Ruswal. Arnice, a human/demon hybrid knight, is tasked with protecting Lilysse, who has been chosen as the "Saint". Their world is threatened by the return of a demonic "Nightlord," and the plot revolves around their intertwined destinies, duty, love, and the difficult choices they must make, particularly the prophecy that Lilysse must eventually sacrifice herself to seal the Nightlord's power.