The girls learn that the crater created in the mountain during their previous battle has mysteriously disappeared. While investigating the scene, they are suddenly confronted by two new adversaries who overwhelm them and kidnap Miyu. As Illya tries to chase after her, she finds herself in parallel world covered in snow, where she meets a peculiar girl known only as Tanaka. Despite seemingly having no other memories, Tanaka is somehow able to tell Illya that Miyu has been kidnapped by the Ainsworth Family.
Illya and Tanaka are attacked by one of Miyu's kidnappers, Beatrice Flowerchild, before she is suddenly called away. As Tanaka explains that the only thing she remembers is her duty to eliminate the Ainsworth family, she and Illya come across a ramen shop, where the owner explains that a gas explosion caused the crater. When they are suddenly faced with a hefty bill, they are bailed out by the Heroic Spirit Illya previously faced, Gilgamesh, who helps lead them to the Ainsworth's castle in the center of the crater. Making their way inside the castle, they come across a prison cell containing Miyu's older brother, who urges them to save Miyu. Just then, they are confronted by the other of Miyu's kidnappers, Angelica.
Gilgamesh steps up to face against Angelica while Illya and Tanaka go off in search for Miyu, only to come up against Beatrice again. As Tanaka takes on brutal attacks from Beatrice, Illya manages to find Ruby among a pile of weapons, transforming once again and installing the Caster card to fight against Beatrice's Berserker. After Tanaka takes on a full blast from Beatrice, still managing to survive, Gilgamesh helps her and Illya make a retreat. Just as Beatrice and Angelica catch up to them, they are called off by the head of the Ainsworth family, Darius Ainsworth, while Kuro and Bazett also arrive in the parallel world.
Kuro brings Illya and the others to the school, which she and Bazett had been using as a base. Kuro then explains their situation while Bazett gives Illya the Saber, Rider, and Lancer cards. As Gilgamesh explains to Bazett what the cards are, Kuro, notices Illya feeling sorry for herself, confronts her in a battle, forcing her to use the cards she received from Bazett to defend herself. During the battle, Kuro informs Illya that her fears of being in an unknown world are the same feelings Miyu kept to herself all the while. Winning the battle with the Saber card, Illya comes to understand what Kuro was teaching her.
Illya helps out a girl named Erica after she gets stuck on the school's walls and wets herself. As the girls take a bath together, they learn that Tanaka had lost her memories just before meeting Illya. Afterwards, as Sapphire manages to get in contact with Ruby, Erica is picked up by her father, who turns out to be Darius himself.
Darius traps Illya inside an ice barrier Noble Phantasm which slowly cuts off her oxygen supply. Tanaka manages to break through the barrier, allowing the others to come to Illya's aid, but they are all helpless to fight against Darius. After taking an interest in Tanaka's abilities, Darius takes his leave, with Erica leaving some disturbing words for Illya. As Illya and the others try to figure out their next move, Darius performs a painful ritual with Miyu. The next day, Kuro discovers that Illya has disappeared, leaving her Class Cards behind.
Illya wakes up to find she has been kidnapped by the Ainsworths who, after failing to brainwash her, transferred her mind into a stuffed animal, placing a fake personality in her original body. Managing to take control of her new plushy body, Illya tries to chase after her original body but is caught by Beatrice, who brings her to her room. Before Beatrice can rip her to shreds, Illya is saved by the arrival of Rin and Luvia, only to discover they have also been brainwashed into becoming maids. Escaping to the loft, Illya manages to find Sapphire, who gives her the power to transform.
Learning that injuring the possessed bodies will bring their original minds back, Illya, still powerless despite transforming, tries to fight against the possessed Rin and Luvia, who utilise nameless Noble Phantasms to fight against her. As they end up crashing into Erica's room, where Angelica finds them, Illya manages to use split-second timing to return to her original body. As Angelica uses displacement magic to overwhelm Illya, she reveals that the Ainsworths are trying to save their world, which is slowly dying, by using Miyu as the Holy Grail.
Angelica further explains the situation that because the world's decreasing mana is killing off lifeforms, the Ainsworths intend to use the Holy Grail to change humanity into a species that can survive in this new environment. Forced to use the Assassin Card to escape, Illya, conflicted over choosing between Miyu and humanity, is rescued by Kuro, who states her determination to save Miyu regardless of the situation. As Darius forces Miyu to watch everyone's battle, Illya comes to her own decision, stating her determination to save both Miyu and the world without sacrificing either.
As Gilgamesh and Bazett sneak up from behind, managing to bring Rin and Luvia back to their original bodies, Illya pushes ahead to confront Darius, using a card she received from Kuro to hit him with a dagger planned to cut off his magic, reuniting with Miyu in the process. However, emerging from Darius' body is his son, Julian, who reveals a large black cube in the sky and uses its dark power to consume Erica and create an army of Heroic Spirits. Just as the army seemingly overwhelms them, they are saved by the arrival of Miyu's brother, who bears a strong resemblance to Shirou.
Putting his own body at risk to use his Trace On ability to create weapons, Miyu's brother is aided by Kuro as he battles Angelica while the others fight off the Heroic Spirits. After Kuro manages to use teleportation to defeat Angelica, Miyu's brother goes after Julian but is heavily injured by a mysterious and deranged woman. As Miyu uses the Archer card to confront her, she becomes possessed by it until Gilgamesh retrieves it from her body. As Julian dispels the woman, Illya brings out her full power in an all-out attack.
As Illya's attack fails to stop the regenerating army, Tanaka throws a mysterious sword into the middle of the fray, allowing Illya to damage the black cube and dispel the muck causing the army to grow. As Julian escapes with Erica and Beatrice, Bazett manages to retrieve a gem allowing Rin to properly heal Miyu's brother. After everyone, including Angelica, returns to Miyu's home, Illya and Kuro discover the sword she used was actually Tanaka's arm. While Julian prepares his vengeance, Miyu and her brother tell the others about what happened to them.