Yumeji Fujiwara is a high school boy with the ability to predict people's dreams or nightmares. Recently, he has dreams of being chased by a weird demon named John Doe. One day, Yumeji meets a strange girl after she falls out of a tree and lands on him. After she leaves to look for her hat, Yumeji finds it, only to suddenly find himself in the world from his nightmare, and he is once again chased by John and his cat army. As Yumeji is cornered, the girl from before arrives, introducing herself as Merry Nightmare, and fights against John. As Merry tries to ask John to take her back to the world he came from, John just laughs at her and leaves, before both she and Yumeji return to the real world.

Merry suddenly collapses, so Yumeji takes him home where his friend, Isana Tachibana, and her father help look after her. Merry explains to Yumeji that she had been hunting dream demons, trying to find a way back to the world she came from, only to be met with more questions. Later that night, Merry decides to leave to do things on her own, whilst Yumeji settles his resolve to help her. Meanwhile, a girl named Yumi with dreams of becoming a nurse suddenly ends up in a different dream world with her resident dream demon, Serio. Serio is suddenly killed, which causes Yumi to lose all drive in her goals.

As Yumeji goes to search for Merry, he finds her at the park with a girl named Minato Kisaragi, who has trouble making friends. After playing with her for a bit, Yumeji decides to show off his ability, only to discover that Minato has been having nightmares. He soon ends up inside her daydream, where a dream demon named Ichima wants to prevent Minato from making friends so she can become her vessel. Just then Merry arrives and manages to give Minato the confidence to say what's right, before Merry defeats Ichima. Upon returning to the real world once again, Minato goes to make some friends whilst Merry goes off on her own again.

The president of Yumeji's literature club, Mei Hoshino, has been sending texts with a mysterious boy named Chris Evergreen. Later that day, Yumeji, Mei, fellow club members Takateru Akiyanagi and Saki Kirishima bring Merry along to karaoke, whilst Isana tries to make friends with a transfer student named Chizuru Kawanami. Later that night, when Mei comes to Yumeji's family café having supposedly been stood up by Chris, she suddenly acts weird and texts herself from another phone. Yumeji realises that Mei has become a vessel for Chris, who is actually another dream demon, and chases after her, ending up in her daydream. As Chris prepares to attack him, Merry arrives and defeats him. Before Chris disappears, Mei asks to look at him, and comes off happily from what she sees. From that point, Yumeji decides to work together with Merry to help her find nightmares, and she starts working part-time at the café.

Yumeji and Merry go grocery shopping, where Yumeji learns that Merry had apparently arrived in the real world about 10 years ago. They later meet a girl named Yui Kōnagi, with Yumeji helping her rescue a doll she dropped. Yui, who is actually the willing vessel of a dream demon named Engi Threepiece, has her trigger a daydream within which Yumeji and Merry are caught him. Engi questions them about someone named Pharos Hercules, before beginning to fight with Merry. As Merry talks about sending Engi back to where she came from, Engi reveals that there is no way back for dream demons, revealing her sister was killed when she entered the real world. Questioning whether she has actually been doing the right thing, Merry is unable to fight back against Engi, forcing Yumeji to stand between them, receiving a slash to his chest.