In this first game of the Cosmic Fantasy series, the player controls a young adventurer named Yū, who travels through space together with a robotic motorcycle cat called Monmo. One day, their space ship crash-lands on an unknown planet. The heroes realize that the planet is in a civilization phase far inferior to their own space-traveling world, and resembles a medieval society. Upon visiting a village, Yū discovers that the clan of kobolds is threatening its inhabitants. What starts as a simple mission soon turns into a grand quest against an evil force, that will eventually lead Yū to realize his role as a Cosmic Knight, whose task is to defeat intergalactic evil and save the world.

One of the first Japanese RPGs in a CD format, Cosmic Fantasy: Bōken Shōnen Yū is a traditional representative of its genre, with party management, dungeon exploration, random enemy encounters, and turn-based combat. Characters fight using physical attacks, but later gain access to psychic techniques, which are equivalent to magic spells in comparable games. There are anime-style cutscenes with voice acting which advance the story.