Segata Sanshiro, a character that was created as part of an advertising campaign for the Sega Saturn, appears as an assist character in this game. He makes multiple references to the console, as well as a reference to one of his advertisements when partnered with Sakura and Gemini. He even references the different difficulty levels of the Fire Emblem series when partnered with Chrom and Lucina.

The developers approached Hideki Kamiya asking if they could have Bayonetta appear in the crossover title. Kamiya refused, stating he would like Dante, who was already a confirmed character, and Bayonetta to meet on his terms. He has since come out and said that he regrets this decision, and would like to see Bayonetta included in Project X Zone 3.