Daphne in the Brilliant Blue is set in a future where global warming has caused large portions of Earth to be underwater. Maia Mizuki, a 15-year-old orphan, applies to the Ocean Agency, an elite paramilitary organization run by the futuristic world government, but fails her entrance exams. After a series of unfortunate events - including getting evicted, pickpocketed, and taken hostage - Maia joins Nereids, an unorthodox help-for-hire organization. She takes on various jobs with Rena and Shizuka, initially capturing wanted criminals, but often ends up in unexpected situations.