The story begins with Bazette Fraga Makremitz, Lancer's original Master from Fate/stay night who was betrayed by Kotomine. Here, she wakes up in a mansion without memory of what happened from before, and joins the Holy Grail War with a mysterious Servant that was with her. However they soon encounter two Sabers that are controlled by two twins, and both Bazette and her Servant are killed.
The focus shifts to Shirou, who wakes up and find Saber, Sakura, Ilya, Rider, and Taiga in his house. It is explained that due to space-time being warped, in the current Fuyuki city all Servants and Masters other than Kotomine and True Assassin are alive, and that for some reason the Grail War was about to begin again. However, no one is particularly interested in fighting, and are living their lives in the city. Shirou wanders around and encounters dark monsters on the fourth night, and is killed right after seeing a mysterious, white haired girl.
Back to Bazette, who wakes up in the same mansion. Next to her is the mysterious Servant, who revived her by returning them to the first night through his Noble Phantasm. They strategize using knowledge from the first time around, and continue to fight in the War as well as against the dark monsters. It is revealed that the mysterious Servant if Angra Mainyu the Avenger. Back at Shirou's place, Shirou pass the day with other Servants and Masters, and finds out more about the current situation: Someone supposedly was sent by the Church to replace Fuyuki's priest. On the fourth day, a temporal loop returns eveything to the first day. Archer is preventing him from reaching New Town. When Shirou finally corners the mysterious girl, spikes grow out of the girl and kills Shirou.
Back to Bazette, who was killed by Assassin and returned to the first day. Slowly accumulating information through each loop, Bazette and Avenger sets out once again. As time passes and Bazette and Avenger get to know each other better, they grow closer and begin open up to each other. Switching to Shirou's perspective, Shirou begin find traces left behind by Bazette and Avenger. At night, Shirou defeats Archer with the help of Saber, and is able to visit the Church in the New Town. There they encounter Bazette and Avenger. Bazette and Avenger defeat Shirou and Saber, but time returns to the first day once again.
Surprised by the loop despite their victory, Bazette is informed by Avenger that the four day loop is out of his control and will likely continue on forever. Troubled, Bazette decides to look for clues to end this loop. On Shirou's side, Rin returns from her studies in London. After hearing about recent events, she theorizes that this fake Grail War is happening inside of a loop, and somehow Shirou is able to retain his memory through each loop. One possible way to break out of this loop is to first find someone who did not appear in the original Grail War. Shirou decides to find a way to meet Bazette without being killed. Back to Bazette, who goes to meet Ilya at the Einzbern Castle. On the way there Avenger sacrifices himself to slow down Berserker. When Bazette finally finds Ilya, she learns more about this loop and is informed that there is nothing Ilya can do, so Bazette decides to loop around the town for clues. Meanwhile Shirou meets the mysterious girl again and find out her name is Caren Ortensia. Caren explains that she is only here to investigate the Grail War's aftermath, and had nothing to do with the monsters. Together Shirou and Caren fight off more monsters, after the battle and before the end of the loop, Caren comments that Shirou will be able to meet her now.
In the next loop, Shirou is able to meet Caren at the Church and learn more about her. Rin also comes up with a theory that the war is a reproduction by someone who was only able to experience it for four days. Bazette shows up to meet with Shirou, but runs away when Rin points out that the War is already over. After questioning Avenger, Bazette finds out that the War was over half an year ago, and that the loop is caused by themselves. Bazette remembers Kotomine's betrayal, and how he left her to day after taking her Command Seals. While dying, Bazette's wish of not wanting to die was answered by Avenger, thus starting the loop. Bazette decides to continue the loop since both she and Avenger would die without it. Meanwhile Shirou finds Lancer at Bazette's mansion, who decides to help Shirou. During their battle with Bazette, Lancer and Bazette strike down each other. After Bazette wakes up from her death, Avenger decides to end his contract with her, but is instead turned into Bazette's missing arm by using her Command Seal.
Before the final battle, Shirou spends some more time with Ilya, Saber, and Caren, learning more about the nature of this loop, the fact that Shirou is actually Avenger who took possession of Shirou's form during daytime. During the final night, Shirou climbs a spiral ladder with Caren towards the Holy Grail while other Masters and Servants fight off the swarming dark monsters. When Shirou/Avenger reaches the top, he meets Bazette, where it is revealed Bazette is actually alive, being kept alive by Avenger and later a woman from the Church. After conversing and resolving to face their fates, they decide to go their own way toward their fate while the Holy Grail is falling apart. In the Epilogue, Bazette wakes up in her mansion and is ready to face a new day.