Taking place shortly before the events of Shin Megami Tensei: Strange Journey, Jack Frost is synchronized with the mind of a human in order to traverse and fight demon hordes. He rescues the non-synchronized Jack o' Lantern after he was frozen by Black Frost, who decimated all the Jacks that previously attempted an assault. They meet a small creature who names himself J-kun.

The Jacks traverse the different Sectors of the Schwarzwelt to defeat Black Frost, fighting against Bifrons, Decarabia, Alice, and Girimehkala in the way. After defeating the latter, the Jacks meet again with J-kun, who tells him he's remembered he used to be human, until he booted up a synchronicity program sent to him, sending his mind into the body of a demon in the Schwarzwelt. They realize destroying Black Frost is the only way to send J-kun back.

After defeating Black Frost, J-kun appears, revealing Black Frost to be the missing part of his mind, and asks the Jacks to destroy Black Frost to release him, hopefully to return to his human body. The Frosts do so, releasing J-kun.

The credits show a list of world news, including the death/recovery of a famous programmer (depending on the ending), a mysterious blizzard in Antarctica, and the formation of the Schwarzwelt Joint Project.