Set in Feudal Japan, Pocky & Rocky has the player assume the role of a young girl who, while tending to a shrine one night, is visited by Rocky, a tanuki and member of a group of yôkai known as the "Nopino Goblins", all of whom have recently been driven insane by an unknown force. Together, Pocky and Rocky must travel through several levels consisting of various ancient Japanese locales while battling a number of creatures from popular Japanese myth, including kappas, obake, and yûrei.

Eventually, they must breach the stronghold of the mysterious Black Mantle, who has been using these monsters (collectively referred to as the "Gorgonzola Goblins") to fulfill his evil deeds. Whichever character the player chooses to play will make no difference in the outcome of the story.