Mighty Milky Way is the second game in WayForward's Mighty series, after Mighty Flip Champs!. The player controls a cute green-skinned, pink-haired, French-speaking alien girl named Luna, who's on a secret mission throughout the galaxy. It's so secret, the game refuses to tell the player what it is. Luna flies throughout the galaxy, zooming from planet to planet. The goal of each level is to get to the black hole that will take her to the next level. There are some hazards, however. First of all, Luna can only blast off from a planet twice before it shatters. There are also some enemies. Some are stationary, but others will walk around the entire length of a planet. There are also borders surrounding each level, and often certain areas of a level, that will electrocute Luna. There are also some planets covered in spikes that will eliminate Luna if she lands on them. If Luna gets hurt even once, the level must be restarted.
All planets have a gravitational pull, including the spiky ones, and the pull is greater the bigger the planet is. Luna's main tool in navigating space is planet candy. These items can create a planet. They can be used to either create stepping stones in a large gap between planets, or to create a planet to pull Luna in before she hits a hazard. Sometimes Luna starts a level with at least one of these, and they are often scattered throughout the level, usually needing to be collected in order to progress. Other things that help Luna are meteor-like objects that are used like DK Barrels from the Donkey Kong Country series, firing Luna to far-off places, and portals, which take Luna to the same-colored portal in another area of the level.
Naturally, there is also an antagonist. At the end of each "world," T-Rex, a giant robotic dinosaur, will try to stop luna by destroying the planets she lands on with lasers. Since there is no way to fight back, Luna must simply hurry to the black hole before she has no planets to stand on. It is interesting to note that from the between-level screens, T-Rex appears to be Luna's husband.