GunBlaze plays like a story-driven Japanese RPG, with the real-world setting adding some unusual gameplay elements. Most of the game takes place in urban locations (such as the city of London); instead of a "world map'" there is a city map with locations marked on it. Despite the fantasy elements, the game tries to keep the realistic setting without supernatural or sci-fi themes - for example, there are no magic spells or any equivalent powers. The heroes fight with guns, for which they have to buy bullets, and which require re-loading during combat.
Otherwise, GunBlaze preserves traditional Japanese RPG gameplay elements such as linear plot progression, simple character development system (leveling up), random enemies, turn-based battle engine, etc.
Despite the historical European setting, GunBlaze has typically Japanese manga/anime-style character design. The game has nudity and sexual content, though it can be considered "softcore".