The story follows the exploits of the silent Main Character, who becomes a hero called the Absolute Victory Unlosing Ranger after the previous Absolute Victory Unlosing Ranger is killed. The new Absolute Victory Unlosing Ranger must train to become strong enough to defeat the evil demon general Darkdeath Evilman and rescue the world’s prophesized savior, a super-powered baby called "Super Baby".
Unlike most Nippon Ichi games, Z.H.P. Unlosing Ranger VS Darkdeath Evilman is centered around a single playable character exploring randomly generated, multi-level dungeons similar to those of the Mystery Dungeon games. However, some gameplay mechanics common among Nippon Ichi games are featured in Z.H.P., such as the ability to pick up and throw enemies. Most dungeons, as well as the boss battles at the ends of some dungeons, feature their own unique mechanics and gimmicks, such as cannons that launch the player to a random location on the current floor. Similar to roguelike games, the player is reset to level one upon entering a dungeon. However, upon completing a dungeon or being defeated, the player's current level is added to their Total Level count, which affects their base attributes.