The events of this game take place in London, in the second half of the 19th century. Mark Flint is a young private detective. One day he sees several men assault a young girl near his apartment. He saves the girl, only to discover that he has seen her face already on a "wanted" poster. But the girl (whose name is Jewel) explains that she is being hunted by the mysterious society of Rosenkreuz. Her father was a great scientist who knew how to make items out of pure ether; his zeppelin was attacked, and the Rosenkreuz are after the ether-made necklace Jewel is wearing. Mark, Jewel, and their friends have to find a way to defeat the Rosenkreuz and their leader, the ambitious Irene, who won't stop until the entire world is under her control...

GunBlaze plays like a story-driven Japanese RPG, with the real-world setting adding some unusual gameplay elements. Most of the game takes place in urban locations (such as the city of London); instead of a "world map'" there is a city map with locations marked on it. Despite the fantasy elements, the game tries to keep the realistic setting without supernatural or sci-fi themes - for example, there are no magic spells or any equivalent powers. The heroes fight with guns, for which they have to buy bullets, and which require re-loading during combat.

Otherwise, GunBlaze preserves traditional Japanese RPG gameplay elements such as linear plot progression, simple character development system (leveling up), random enemies, turn-based battle engine, etc.

Despite the historical European setting, GunBlaze has typically Japanese manga/anime-style character design. The game has nudity and sexual content, though it can be considered "softcore".