In the future, time travel became a regular commodity. Criminal organizations began using advanced science in order to escape into different time periods to avoid capture. To counter that, a special police unit called "Burning Rabbits" was formed, consisting of four young ladies who bravely pilot their fighter craft through time and space.

Ginga Fukei Densetsu: Sapphire is a vertically-scrolling shoot-em-up. The player can choose between four different female characters, each piloting a different ship: Sapphire has balanced strength is speed; Charlotte is the fastest, but also the weakest; Helen is the slowest and the strongest; Jasmine is the second-strongest and the second-slowest. The ships are also distinguished by their weapon properties. Each ship can collect red, green, or blue power-ups; collecting a power-up of the same color enhances the currently equipped weapon, while a differently-colored power-up changes weapon properties while retaining whatever enhancements the ship might have had with the previous weapon. The actual properties of each weapon is different for each ship, and include various combinations of lasers, beams, missiles, piercing and homing weapons.

Each ship also has two pods on the sides that fire simultaneously. If the player releases the fire button for five seconds, the pods will charge up and damage enemies with electricity during the next shot. In additions, the ships can also drop bombs that heavily damage all the enemies on the screen; up to two bombs can be carried at the same time. The stages include various themes such as medieval, feudal China, ancient Egypt, etc., all with a strong sci-fi angle. The player can continue up to nine times from the same spot if the protagonist runs out of lives, and additional continues are granted when the player gathers a sufficient amount of points.

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