Limbo of the Lost follows Benjamin Briggs, the historic captain of the Mary Celeste. In 1872, the Mary Celeste was discovered empty; the fate of Briggs and the rest of the crew remains a mystery. The game puts Briggs in Limbo, where he has to aid Destiny in a war against Fate.

Captain Briggs is portrayed as entomophobic, having a fear of insects. Throughout the game, he must confront his fear in order to complete puzzles and progress further. The existence of the player is acknowledged by the game's characters (described as a "spirit guide"), and during the final sequence the player, rather than Briggs, becomes the puzzle-solving protagonist. Briggs complains to the player from time to time regarding his feelings of the surroundings and what he has been asked to do. If the player does not move the mouse for a period of time, Briggs will let the player know about it.