The game is meant to offer a simple play experience. The main goal is to defeat a dangerous group of creatures known as the Malicious. There is no actual stage progression in Malicious. Instead, all stages start the player directly in fights against a boss and their subordinates.
The player makes use of a special black mantle that hangs from the main character's neck called the Mantle of Cinders (灰の外套 Hai no Gaitou?). The mantle, created using technology from the great prophets, changes into a variety of forms. As an example, the mantle can become fists for close-range melee attacks. It can also become a projectile weapon, making use of "demon bullets" to target multiple enemies with a lock on. The mantle can also wrap around the character to guard against incoming attacks.
The player is able to freely select whichever stage to come next. The ordering could be important, as defeating a boss gives the character that boss's powers in the form of a new action. The character also gains power in other areas, including increased jump height and the ability to lock on to a greater number of enemies with "demon bullet" blasts.
As the player takes damage during the game, parts of the main character's clothes and body will disappear. However there are certain places where the player can get healed up when certain conditions are met, which will restore the missing parts of the main character's body (clothes, however, can't be restored.)
Source: Wikipedia, "Malicious (video game)", available under the CC-BY-SA License.