The events of So Long, My Love are set two years before the Great Demon War of 1930, which results in the complete destruction of the Paris, New York, and Imperial Combat Revues' Flower Divisions. As a result of their heroic actions and the war's end, the World Combat Revue Organization is established, comprising various international divisions. A biennial international Combat Revue tournament is also introduced.
In 1940, Seijuurou Kamiyama, a captain in the Imperial Japanese Navy, is appointed as the captain of the new Imperial Combat Revue's Flower Division. The team is located in Tokyo and consists of Sakura Amamiya, a new recruit with impressive swordsmanship; Hatsuho Shinonome, a celebrated actress and revered shrine maiden; Anastasia Palma, a Greek actress, newly transferred to Japan; Azami Mochizuki, a strikingly skilled ninja from the Mochizuki clan; and Clarissa "Clarise" Snowflake, a noblewoman from Luxembourg.
The Flower Division faces a fresh wave of demon infestation and participates in the upcoming tournament, all whilst endeavoring to keep the Imperial Theater open.