Fist of the Blue Sky is set in pre-war Shanghai, where the city is divided into separate quarters controlled by foreign governments and Chinese factions. These groups often engage in corruption and violence, making life in Shanghai particularly hazardous. The character Yan Wang, also known as the King of Death, is a master of the Hokuto Shinken martial art and had previously been active in Shanghai before disappearing. His whereabouts are now unknown, with some speculating that he may be in Japan.