Shadows are the major enemies across the entire Persona franchise. As the darker, hidden side of the human heart, the Shadows are a strong and large enemy force who stand against humanity.
 In Lore
Persona and Shadows are two different sides of the same concept. While a Persona is a strong, front-facing mask of protection, a Shadow is a hidden, dark secret of negative emotions. Every human in the world possesses the innate potential to hold many Personae and Shadows.
Shadows appear much more frequently in the world due to how powerful negative emotions are. The great mass of human emotions causes them to be a force great in number, and certain Shadows are stronger than others. The strongest among them are the Shadow Selves, who are Shadows taking the form of their creator.
The link between Shadows and Personae becomes a lot clearer due to the Demon Forms in earlier events, where the Personae available in later titles are the same as the Demons in the earlier titles.
 In the Series
 In Revelations: Persona
The SEBEC Incident causes demons to appear in the two worlds accessible within the game (The Player's World, and Maki's World). Philemon's power over the world causes Shadows to take a clearer form, and that's why the Shadows appear as Demons during the events of the two incidents within Persona 1.
As in the previous title, Shadows take the form of Demons. More importantly, P2IS introduced the concept of the Shadow Selves. The Shadow Selves of the main party are created due to rumours conflicting, and they become members of the Masked Circle.
Nyarlathotep created the Shadow Selves in an attempt to stop Tatsuya Suou and his companions, removing the chance of them interfering in his plans. The player encounters the Shadow Selves late into each game, with them being one of the major enemies in the beginning of the final acts of each title.
While Nyarlathotep's plan was to have the heroes either be defeated by the Shadow Selves, or fall into despair at the truths they hid away, the player party overcomes them all, learning lessons to push them forward.
Maya Amano never accepts her Shadow Self, and is the only one in the franchise to turn away from it.
Towards the end of Eternal Punishment, Shadows start to lose their forms, and slowly convert to the black monsters the series is known for. In the PSP Remake of Eternal Punishment, an extra scenario with Tatsuya connecting the two titles is added. The events in this reveal that, due to the end of Innocent Sin, Philemon is slowly growing weaker.
Philemon and Nyarlathotep both disappear at the end of Eternal Punishment.
Ten years prior to Persona 3, the Kirijo Group is experimenting on Shadows, trying to use them as a potential power source, and possibly a way to manipulate time. During these experiments, they have a destructive accident that wipes out most of the laboratory and it's staff, including Eiichiro Takeba. This event accidentally creates both Tartarus and the Dark Hour.
By the time of the actual events of Persona 3, the Shadows have become more defined, a sort of middle ground between the black formless monsters, and their clear true form as Demons. Each one has a Mask, and a Body. The Mask (a nod towards the nature of Personae and Shadows) represents the Arcana they are affliated with, and the Body is a form they take on (A soldier, a table, a tank, etc)
A powerful Shadow, Death, is associated with the events of Persona 3. In the years prior to the game's event, Aigis prevented the first attempt at The Fall by splitting Death into 13 fragments. 12 of these became strong Shadows representing the Arcana, and the final one became Pharos, sealed inside Makoto Yuki until the others were ready.
When Makoto arrives at Tatsumi Port Island, the dormant 12 Shadows begin to appear slowly over the next few months, on the nights of a Full Moon. When S.E.E.S defeats all of them, they find that they had been tricked, and defeating them didn't prevent the world's destruction, but activated it. Shortly after this, Pharos disappears, and the 13 fragments recombine to bring back Death, in the form of Ryoji Mochizuki. He becomes the Nyx Avatar, in order to call down Nyx to earth at the top of Tartarus, and cause The Fall.
 In The Answer
Enemy shadows are present within the Abyss of Time. These are the same as the one's seen within Tartarus.
During the journey within the Abyss of Time, S.E.E.S learns that Nyx is not a hostile being; she is an entity created from the negative emotions of humanity, and believing that humans were tired of living, she brought it upon herself to end their world, and suffering.
As Nyx is a force of the world's will, Makoto was unable to seal Nyx herself. When returning to the time Makoto sacrificed himself, the remaining members of S.E.E.S learn that The Great Seal was not made to stop Nyx, but, to stop a being known as Erebus. Erebus is a pure Shadow made of the entire planet's grief and sadness made into one entity. It makes the journey into the world to lead Nyx down the path, and triggers The Fall.
Metis, the mysterious new sister of Aigis, is potentially a Shadow Self of Aigis. She fits all the original motifs of Persona 2's Shadow Selves, and is revealed at the end of The Answer to not be a real being. It is stated she comes from the "Other Side", which is where Shadows come from, according to members of The Velvet Room.
Shadows return as the enemies within dungeons inside the TV World. Unlike in Persona 3, they no longer strongly feature the Mask motif, as they aren't connected to the Kirijo Group's incident at Tatsumi Port Island.
Persona 4, like the 2 Duology, strongly focus on the concept of the Shadow Selves. Unlike in 2, where they appeared after their original's has gained their Persona, in 4 they are now a path blocking the way to obtaining a Persona. As a Persona and a Shadow are two sides of the same coin, one can not exist while the other does.
Similar to Persona 2, the Shadow Selves are darker, meaner versions of a humans hidden emotions. They feature glowing yellow eyes, compared to the original red eyes seen in earlier installments. Another difference is that, upon accepting your Shadow Selves origins, they immediately lose hostility, and change into the person's Persona.
Like in Persona 3, Persona 4 features several powerful Shadows that are a driving force behind the story. Kunino-sagiri and Ameno-sagiri are two Shadows who exist as wills of humanity, similar to Nyx and Erebus. The two of them also make up fragments of Kusumi-no-Okami, the keeper of the Fog.
Together, the three of them along with Izanami make up the entity Izanami-no-Mikoto, a god-like entity who wishes to save humanity, while also needing to answer humanity's own wishes to disappear within the Fog. Under the control of her humanoid personality, Marie, they are hidden away until Marie can fully control them.
 In Persona 4: Arena
As an extension of Persona 4, Arena's story focuses around a new incident within the TV World, centered around Labrys and her Shadow Self.
A new antagonistic being, the Malevolent Entity, travels within the school as the hero characters try to save Labrys. It on multiple occasions takes on the form of a fake Shadow Self in order to psych out the protagonists.
The game's story also further explores the connection between Personae and Shadows. The Malevolent Entity reveals that, as a Shadow can be overcome and become a Persona, there is also a way a Persona can return to a Shadow. He attempts to make several of the cast members, notably Yosuke Hanamura, fall into despair and let his Persona go wild. According to the Malevolent Entity, a strong, raised Persona will retain its strength, becoming an extremely powerful Shadow.
Shadow Selves are once again a major focus in this follow-up to Arena. SHO Minazuki has created fake Shadow Selves of the Investigation Team and Shadow Operatives members, made out of scraps of weaker Shadow enemies.
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