During Lost Odyssey nine playable characters are available to use. Of these nine, four are beings known as Immortals. These characters do not die when their HP is depleted, and they are simply knocked out. Unlike mortals, an Immortal can come back into the battle on their own without the need for assistance from an Angel's Plume. If left unassisted, they will simply stand back up after a few turns. In addition, they do not learn skills through gaining levels as mortal characters do. They require Skill Linking to learn new abilities, but they can also learn new abilities through equipping accessories. After enough SP have been collected in battle, it is possible to remove accessories but set the skill separately, keeping the abilities which they offer.

There are four permanent playable Immortal characters in the game, and one temporary.

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