Zenonia 2: The Lost Memories is the sequel to Zenonia, an action role-playing game that features four characters, Daza, Lu, Morpice, and Ecne, each with their own story, class, and unique skills.

The prologue of the game states that four heroes were tasked with guarding the seal of the evil dragon Ladon after the events of the first game, as Regret is nowhere to be found. However, humans slowly become corrupted, so the gods of Zenonia have no choice but to wipe the memories of everyone in the land to restore peace using the "Tree of Life". Now, the residents of Deva Castle search for a way to restore their lost memories, as well as keep Ladon imprisoned, by finding the four gems. Each of the four selectable characters has a prologue specific to them that sets up the events of the game, in which the four characters are inevitably imprisoned in the dungeon of Deva Castle. After escaping, the characters are given an ultimatum: work for Zavkiel to retrieve the four gems and, as a result, have their wishes granted, or be re-imprisoned. After choosing the former, the adventure begins.

Each of the characters have their own back-story and motivations. Daza, the warrior, is the last remaining member of the Minotaur tribe; Ecne, the gunslinger, is on a mission to find her older brother; Morpice, the magician, was taken in, and subsequently trained, by the magician Zealous after being orphaned; and Lu, the paladin, wants to save his grandfather.