"Daphne in the Brilliant Blue" is set in a futuristic world where much of the Earth's surface is submerged underwater due to rising sea levels. Humanity has adapted by building floating cities and relying on advanced technology. The story centers on Maia Mizuki, a young woman who dreams of joining the Ocean Agency, a prestigious organization responsible for maintaining order and safety in this aquatic world. However, after failing the agency's entrance exam, Maia finds herself unemployed and without prospects.

Desperate for work, Maia stumbles upon Nereids, a private investigation and security agency staffed entirely by women. Despite initial reservations, she joins the team, which includes the confident and resourceful Rena, the tech-savvy Shizuka, the cheerful and energetic Yu, and the enigmatic Gloria. Together, they take on various missions, ranging from solving mysteries and rescuing clients to combating criminal organizations. The series balances episodic adventures with an overarching narrative that gradually reveals the complexities of the world and the characters' personal struggles.

Maia's journey is marked by her growth from a naive and inexperienced recruit to a capable and confident member of Nereids. Her interactions with her colleagues highlight themes of camaraderie, trust, and resilience. The series also explores the socio-political dynamics of the floating cities, touching on issues such as corruption, inequality, and the ethical implications of advanced technology. While the tone is often lighthearted and action-packed, it occasionally delves into darker and more introspective moments, particularly as the characters confront their pasts and the challenges of their profession.

The narrative structure combines standalone episodes with a gradual build-up of tension as the Nereids face increasingly dangerous adversaries. The series culminates in a climactic confrontation that tests the limits of the team's unity and resolve. Throughout, the characters' relationships evolve, and their individual motivations are explored, adding depth to the overarching plot. "Daphne in the Brilliant Blue" offers a mix of action, mystery, and character-driven storytelling within a vividly imagined futuristic setting.