The world of Siesta is set in fantasy Europe where there are people called bullet users who were discriminated against badly for reasons unknown to readers as of volume 1. The discrimination has gotten much weaker due to Grande Corp's efforts to wipe out the decades-old pirate faction with the help of Bulletron, a battle suit designed exclusively for bullet users.

The story begins as the protagonist Dia Canto tells you a little bit about herself: how she became an orphan, how she met her foster family, and how she is very much in love with her step brother, Loe. However, her affection toward Loe is brutally crushed before it would even bear fruit and she goes out to vent her sadness. This is when she encounters Cid Leon, who she would ultimately be paid to "protect".