Dynasty Warriors 4 is set in Ancient China during the time of the Three Kingdoms era. The game begins at the fall of the Han Dynasty, shortly after the death of Emperor Ling when the Yellow Turban Rebellion led by Zhang Jiao begun an uprising against the Empire. A number of elements in the game build on aspects of Chinese Mythology and there is a mix between fact and fiction as the game is built on the story of Romance of the Three Kingdoms.

Many of the locations, characters, and events in Dynasty Warriors 4 are reported to have happened in Chinese history although many have been exaggerated to make the game more appealing to the player. There are also some features that are historically inaccurate such as Zhou Tai’s weapon, a Japanese tachi, as there is no historical record of this kind of weapon being used in that era. The game features environments resembling that of ancient China and various items from the era. Common items throughout the game include Fairy Wine and Dim Sum’s.