The main bosses of the game, the Einherjar Eight Warriors, are all based on mythological creatures. These include a fairy, a Mandragora, a Minotaur, a cockatrice, a Pegasus, a Kraken, the Norse Fenrir and the Black Tortise Genbu.

Another mythological connection is that Einherjar in Norse myth are warriors brought to Valhalla to await Ragnarok, when they would join in an immense battle. In Mega Man Zero 4, the Einherjar are engaging in an operation called Ragnarok to eliminate the human settlement Zero aims to protect.

At one point, Mega Man Zero 4 was almost a completely different game. Rather than continuing where Mega Man Zero 3 left off, Takuya Aizu wanted to create "Mega Man Zero 1.5" in order to fill in the gaps between Mega Man Zero and Mega Man Zero 2. However, Capcom insisted on a true Zero 4.