In 2102 C.E., a giant asteroid enters Earth's orbit, and inside is a horde of aliens led by the entity Diadora, unleashing an invasion on mankind. Hiding deep underground, the surviving rebels create three experimental robots, Sophia, Calista and Dynamis, to combat Diadora's army, the objective codenamed "Operation ExZeus". These three robots are humanity's last hope.

ExZeus is an on-rails arcade shooter in a third-person perspective. The player can move in all directions while progressing forward, shooting enemies and collecting power-ups and gold. The player has the ability to lock onto enemies and fire powerful missiles at them, and also has a laser (which recharges by itself after every use) they can launch by holding down the fire button. The player can also send out nuclear bombs that destroy all of the enemies on screen, which can also be used to help with bosses.

At the end of every level, the player faces a boss. Before the fight begins, a screen will display the weaknesses of that boss. Successfully defeating a boss will bring the player to the item shop, where they can buy items to power up their robot, and then proceed to the next level.