Wind of Nostalgio is set in the 19th century. Players take control of main character Eddy, son of a legendary English adventurer. Eddy and a cast of fellow Londoners set off on an adventure that takes them through London and the rest of the world.
A central theme in Nostalgio is flight. Eddy makes use of a dirigible in his travels. When playing, you move about the world through the air rather than walking around on an overworld map. Your air ship also comes into play during battles, as in addition to fighting standard party-based command battles when exploring dungeons, you also engage in air-based battles against other air ships.