故事发生在富士山郊区的一个小镇上,意在成为一个「什么都没有的地方」,这是为了让从城市来的主角体恤其他原本生活在小镇上的角色的日常生活。制作人添加了许多游戏元素以防止游戏老套。由副岛成记(英语:Shigenori Soejima)继续负责人物设计。游戏在日本发售时,诸如角色服饰和配饰等周边商品也开始发售。这款游戏的北美版包装里还带有一张精选音乐CD,与前作《P3》不同,欧洲实体版还包含了一张配乐CD。音樂与《P3》一样,主要由目黑将司负责。本作的各种歌曲由平田志穗子(日语:平田志穂子)担任主唱,包括主题曲《Pursuing My True Self》。
游戏的原创音乐主要由目黑将司编写创作,由平田志穗子演唱,目黑将司觉得她能够把控游戏配乐的情感氛围,歌词由田中怜子所写。[52]目黑将司得知了游戏的故事梗概,以此开始创作音乐,并同时随着故事剧情和角色对话的不断完善,从歌曲的整体开始完善音乐的细节部分。[52]据目黑将司说,歌曲《Pursuing My True Self》和《Reach Out to the Truth》是为了反映游戏主角团的内心冲突。作为片头曲的《Pursuing My True Self》有助于理解角色的冲突,而用于战斗乐曲的《Reach Out to the Truth》强调了这些人物角色通过内心挣扎发挥作用的力量。[52]在所有女神异闻录游戏中的天鹅绒房间中使用的《全人类的灵魂之诗》(全ての人の魂の詩)仍然不变,目黑将司认为这首歌的旋律已经在之前的游戏明确定义了。[52]作曲家喜多條敦志和小塚良太也参与了这款游戏的音乐制作。喜多條之前曾为Atlus的《夢幻騎士VI(英语:Growlanser VI)》和《神使之杖 新血》创作音乐,并为《女神异闻录4》创作了四首主题音乐,而小塚则创作了《朱尼斯主题曲》(ジュネスのテーマ)。[53]
^Atlus. Shin Megami Tensei: Persona 4. PlayStation 2. Atlus. 2008-12-09. Dojima: We haven't found the cause of death for the first vic[tim], and now we've found a second one just like it…
^Atlus. Shin Megami Tensei: Persona 4. PlayStation 2. Atlus. 2008-12-09. Junes - Food Court. Chie: You're supposed to look into a TV that's switched off, alone, exactly at midnight on a rainy night. While you're staring at your own image, another person will appear on the screen. And they say that person's your soulmate.
^Atlus. Shin Megami Tensei: Persona 4. PlayStation 2. Atlus. 2008-12-09. TV World. Teddie: I know that if it's foggy on your side, the fog lifts here. It's really dangerous when the fog lifts. That's when the Shadows get violent…!
^Atlus. Shin Megami Tensei: Persona 4. PlayStation 2. Atlus. 2008-12-09. Inaba - Yasogami High School Rooftop. Yosuke: This guy and me are gonna catch the culprit ourselves! The police are out of their league in this case, but we've got Personas. / Chie: I'm helping out too! I can't believe someone would throw people into a place like that. I'm gonna sock whoever's doing this! / Yukiko: Let me help too. I want to know why this is happening…especially if someone hates me so much they want to kill me.
^ 22.022.1Atlus. Shin Megami Tensei: Persona 4. PlayStation 2. Atlus. 2008-12-09. Inaba - Junes Food Court. Naoto: My sex doesn't fit my ideal image of a detective… Besides, the police department is a male-oriented society. If they had the slightest "concrete" reason to look down on me, no one would need me anymore.
^Atlus. Shin Megami Tensei: Persona 4. PlayStation 2. Atlus. 2008-12-09. Dojima residence. Dojima: I guess until your parents get back next year, you're part of this household.
^Atlus. Shin Megami Tensei: Persona 4. PlayStation 2. Atlus. 2008-12-09. Yasogami High School - Ground Floor. Rumor-loving girl: She died the same way as the announcer, right? That's so creepy! / Girl's friend: Well, last time it was from an antenna, but this time she was hanging from a telephone pole. It's gotta be a serial murder case! [...] Oh, by the way, did you hear? Someone saw a girl who looked like Saki on that Midnight Channel thingie!
^Atlus. Shin Megami Tensei: Persona 4. PlayStation 2. Atlus. 2008-12-09. TV World. Teddie: I'll be waiting for you guys here. You need to come in from the same place every time. So we can meet up. [...] You could come in from somewhere else. But then you won't end up here. You could end up somewhere I can't get to you. Then, you'd be dooooomed… Got it!? / Yosuke: Well, pretty much. Now can you show us the way out? / Teddie: Roger that! One exit comin' right up!
^Atlus. Shin Megami Tensei: Persona 4. PlayStation 2. Atlus. 2008-12-09. Junes - Food Court. Naoto: Mitsuo Kubo's only victim was Mr. Morooka. It was a copycat killing that mimicked the true culprit's method. / Yosuke: No wonder King Moron's murder broke the pattern in so many ways!
^Atlus. Shin Megami Tensei: Persona 4. PlayStation 2. Atlus. 2008-12-09. Inaba - Junes Food Court. Rise: Isn't that kinda odd? Would someone who thinks he's saving people by killing them write stuff like "don't rescue" [or] "kill"? […] / Kanji: Yeah…and the "will be put in and killed" part doesn't make sense, either. If the killer was writing it, wouldn't in be more like, "I'll put it and kill"? / Chie: Hey, could this mean…? […] Yeah… It's almost like…someone else wrote this letter.
^Atlus. Shin Megami Tensei: Persona 4. PlayStation 2. Atlus. 2008-12-09. Inaba - [_] Hospital. Naoto: We know for certain that the first two murders [weren't Namatame's doing.] Someone else killed them. Adachi-san, [do you have any idea who that might be?] / Adachi: I-I have no idea what you're talking about… / Kanji: 'Cause we think…it might've been you. / Adachi: Wh-What?! That's ridiculous! We already know Namatame was the one who put 'em all in! ["!"'s go off above everyone's heads.] / Chie: [shocked] Wh-What did you just say…?! […] / Dojima: "Put them all in"… What's this "putting them in" business? [A "!!" goes off above Adachi's head.] / Dojima: [to Adachi] Do you know something about the method behind the murders? Don't tell me all this talk about TVs and whatnot from before was…
^Atlus. Shin Megami Tensei: Persona 4. PlayStation 2. Atlus. 2008-12-09. Dojima residence - Your Room. Narrative: The inside of your room is filled with fog... It's extremely foggy outside... […]Naoto: Th-The entire town... it's filled with Shadows... I can't...!
^Atlus. Shin Megami Tensei: Persona 4. PlayStation 2. Atlus. 2008-12-09. TV World - Magato Inaba. Adachi: Honestly, we don't need our world anymore. Better to let it be swallowed up and for mankind to turn into Shadows. That's what all those people who are scared to death really want, so it's my duty to see that they get it. / Chie: Nobody wants anything like that! It's just you, dumbass! […] / Adachi: You annoying little brats are the ones who aren't wanted in the new world! / Yukiko: Speak for yourself!! Living is too painful for you, but you don't want to die… Of course no one would understand! It makes no sense! You're just throwing a tantrum like a kid who can't have his way!
^Atlus. Shin Megami Tensei: Persona 4. PlayStation 2. Atlus. 2008-12-09. TV World - Magato Inaba. Ameno-sagiri: Mankind will soon become Shadows and live on in the darkness of the fog, oblivious of their reality…
^Atlus. Shin Megami Tensei: Persona 4. PlayStation 2. Atlus. 2008-12-09. TV World - Magato Inaba. Ameno-sagiri: I see… Your powers are strong. Power comes from the heart… You have proven to me human potential… Very well. I will lift the fog from the place where you will return to.
^Atlus. Shin Megami Tensei: Persona 4. PlayStation 2. Atlus. 2008-12-09. TV World. Adachi: Get outta here… The Shadows will finish me off… Just leave me be… You came to kill me in the first place… didn't you…? / Kanji: No, dumbass. / Yosuke: If we leave you here dying…and a dead body eventually appears, then what? What's that accomplish for anyone…? Your stupid game's over. We're taking you back. Live and face your punishment… That's how it works in our world.
^Atlus. Shin Megami Tensei: Persona 4. PlayStation 2. Atlus. 2008-12-09. Inaba - Shopping District. Yosuke: You're saying this so-called Izanami is the conductor, and she's waiting for us in the other world? [...] / Yukiko: Right! We'll defeat her and put an end to this for sure this time! / Chie: Alright, then once we're all ready, let's meet up at Junes!
^Atlus. Shin Megami Tensei: Persona 4. PlayStation 2. Atlus. 2008-12-09. TV World - ???. Izanami: Everything was for your sake... to create the world mankind so wanted. Man struggles to understand one another. You can only truly know a finite number of people within your lifetime. But humans disregard this fact and try to know more people than is possible. Only by comparing yourself to others can you define yourselves. Thus your ever-present anxiety. Your anxiety causes you to see only what you want to see, and believe only what you wish to believe. As I said, your desire is for a world enshrouded in fog!
^Atlus. Shin Megami Tensei: Persona 4. PlayStation 2. Atlus. 2008-12-09. TV World - ???. Narrative: The hearts of those you formed the deepest bonds with become your strength... Izanagi has transfigured into Izanagi-no-Okami!
^Atlus. Persona 4 Golden. PlayStation Vita. Atlus. 2012-11-20. Epilogue, Dojima Residence. Newscaster: Thanks, Mariko! Please tell our viewers goodbye! / Mariko Kusumi (Marie): Yeah, yeah. But before that, a personal message: I'm doing just fine! Love you, [first name]! ["!?"s go off above everyone's heads, save for the Dojimas] / Rise: [outraged] WHAT!? / Chie: Uhh... Was that...? / Yosuke: [in just as much disbelief] D-Did she just confess her love...on a public news show!?