Bam Bam 3: Underground is a survival horror game based on a story by the same name. The story centers on the abduction of a young boy named Banban by a monster, and the subsequent events that take place in the boy’s underground shelter. The player controls Banban throughout the game.

In the story, Banban is taken to a mysterious underground shelter by a monster, which he later learns is the work of a larger organization called “The Holy Organization,” whose purpose is to create “immortal” children. The Holy Organization intends to use the children to fight the forces of evil in the world.