Monster World IV is a sequel to Wonder Boy 5: Monster World 3. The player controls Asha, the green-haired girlfriend of Shion, the hero of the previous game. One day, Asha was standing on a cliff near her home village, and suddenly heard a mysterious voice calling for help. She decided to leave the village and to embark on an adventure to discover the identity of this mysterious person.

The game is a side-scrolling action platformer with light RPG elements (treasure, equipment, etc.). Asha can jump, run, attack or defend (by pressing the "down" button). She can also use items and equip weapons and armor, talk to people, and open treasure chests. Later in the game, she will also be able to use magic, and a little blue pet animal will assist and help her on her journey. The combat system is quite similar to that of early Zelda games. Health and mana points are measured in little hearts; as the story advances, their amount increases.