The four members of Milky Holmes are going on a study tour. While soaking in the hot springs among snow monkeys, alarms interrupt the relaxing environment! It was the work of the Thief Empire. A fierce battle between Milky Holmes and the Thief Empire begins, with both sides using their Toys (special powers). Furthermore, with the arrival of the Genius 4, a three-way fight occurs! In the midst of battle, a violent lightning strikes from the sky. Struck by the lightning, the four Milky Holmes girls lose their abilities.

An asteroid collision brought with it a deadly menace known as "Shinobi." Faced with destruction, humanity retreated to land reclaimed from the sea. The one ray of hope is a device that can fight the Shinbo called "The Mechanical Divine General." Ame, the princess of the refugees, and Suō, who carries the blood of the Yagyū family, must awaken its power in order to save the world.