According to Street Fighter 6 director Takayuki Nakayama, Captain Commando is set in the future of the Street Fighter universe. This has been hinted at via numerous references to another series set in the same universe, Final Fight. Specific examples of this include Captain Commando taking place in Metro City (a recurring location from both Final Fight and Street Fighter) and Ginzu being trained in the fictional Bushinryu Ninjutsu style of fighting used by Guy. Nakayama at one point revealed that Ginzu's father Gou (a character who had previously only appeared in concept art) would eventually succeed Guy as the 40th Bushinryu Grandmaster, with Ginzu eventually becoming the 41st Grandmaster.

Gou would later make his official debut in Street Fighter 6's World Tour mode during Kimberly's second memory dialogue, where she mentions how she was easily beaten by him. His appearance here depicts him wearing a purple version of Guy's Bushinryu outfit (similar to Ginzu's uniform) and holding a katana similar to Ginzu's signature weapon Lightning Light. Another reference in World Tour mode comes in the form of Carol, one of the minor enemies from Captain Commando appearing as an opponent during the "Fighty Mighty" mission quest. Her appearance is loosely based on her in-game sprite, wearing a blue tank top and pants as well as having pink hair (though here it's depicted as being straight rather than a ponytail), and her dialogue upon being beaten alludes to her role as a criminal in the original game: "Reminds me of old times, back when I was involved in some...slightly unscrupulous business."

There is one known continuity error with the game being set in the Street Fighter universe. In the Character Reference section of the Street Fighter V Shadaloo Combat Research Institute website, the profile for Yuta Homura mentions that he can clear Captain Commando using Mack the Knife (under his Japanese name Jenetty, "ジェネティー") with a single credit. The game is not mentioned by name though, and is instead referred to as an unspecified "beat'em up action game".