The world is not as it should be, as it is filled with distortion, and "ruin" can no longer be avoided. Those who oppose fate and desire change are referred to as Tricksters. You are the Trickster and now is the time to rise against the abyss of distortion. The game inside of a casino, where you see people gambling and enjoying themselves, but something else is afoot, as alarms are ringing. A shadowy figure is seen above the main room, on the lights hanging above, holding a briefcase.
After the brief introduction, you will be in control of that shadowy figure. With the lovely "Life Will Change" music track in the background, move to the ledge to receive a button prompt to jump. Do just that and keep following the linear path until you get into your first battle, which is against something called a Sacrifical Pyrekeeper. There's really no way to lose this battle and not much of the battle system will be talked here. You have the various commands assigned to your face buttons, with up on the directional pad being your gun.
The X button attacks with your melee weapon, Circle is to guard, Square brings up the item menu and Triangle shows a list of skills your equipped Persona has available. In the bottom left corner of the screen are a few more options, down on the directional pad skipping your turn if you want and Options being something called Rush (basically your party will simply use physical attacks when this option is chosen). Use whatever to defeat the enemy, then escape through the door behind you when you regain control.
You will now be in some kind of hallway, which is just as linear as before, so follow it to the end and go through the door to another hallway. When you hear some guard looking for you, the game will bring up another of the game's mechanics, hiding in the shadows. More on this will be explained later, so just press the X button to quickly go from spot to spot and make the guard at the end of the hallway bypass your location. Head up the stairs for more scenes.
Well, things haven't turned out too well for this Joker fellow. Even more scenes will follow, where you will be asked a few questions, which the answers you give not really mattering, so choose whatever. At one point, you will be asked to choose a difficulty, which can be changed later, unless you choose Safe. Basically, difficulty affects a few things, such as how much damage you deal/take, how quickly enemies spot you outside of combat, how fast the alert meter fills, and how much experience/money you receive from battles. There are Safe, Easy, Normal, Hard and Merciless to choose from (the last one is free DLC), so pick whatever you feel comfortable with.
Note: This guide will be written on Normal difficulty, so if you choose a harder one, you may find yourself needing to grind a bit more.
You will then be asked to sign your name, with the first being your given (first) name and the second being your family (last) name. There will be more stuff going on and then you'll be talking with someone named Sae Niijima, who works for the prosecution office. Once again, the answers given here don't really matter, so choose whatever you want to continue and move onto the main game.