At the start of the game, the Little Girl falls from the roof into Deemo's castle. She appears to have amnesia as she cannot remember her own name or how she fell into the castle. Throughout the story, she can be observed to be rather bubbly and inquisitive, as when she examining the various elements in the basement and attic. She also seems to know Deemo's name despite it never mentioned to her, an oddity she acknowledges herself. She gets pouty when Deemo doesn't avail her their attention.
The Masked Lady seems to antagonise the Little Girl to some extent, claiming that the castle was more peaceful before her arrival and expressing her disapproval towards her playing of the piano with Deemo.
As the story progresses, the elements during exploration become more realistic and the Little Girl grows closer to the truth.
At the end of the Main Story, the Little Girl is revealed to be an aspect of the personality of Alice, Deemo's younger sister. The Masked Lady is another aspect of her personality who wanted to prevent her from discovering the truth. She was involved in a car accident, in which Hans, Deemo's true identity, died shielding her with his body.
After remembering the truth, she awakens in the real world, in a hospital connected to medical equipment. When she rushes to the window to see that there was no fog obscuring the reality through the window, she realises that she can never see her brother again.
After the credits sequence, she is shown playing the piano in memory of Hans.
In the After Story of Deemo: The Last Recital, it is revealed that the Little Girl and the Masked Lady are both equal aspects of Alice without there being a preferred personality. In the alternate ending where the Masked Lady destroys the mask, she is the aspect of Alice who awakens in the hospital, since her Little Girl persona would not have existed.
In the Forgotten Hourglass, Alice as the Little Girl relives her memories of her time with Deemo in the form of additional playthroughs. Her memories become less macabre than in the Main Story, observable through certain minor changes:
The rooms in the entire castle are redesigned to portray a brighter atmosphere, being day instead of night.
The songs required to unlock certain Memories become less sombre each playthrough.
The Moments unlocked at the end of playthroughs 2 to 4 depict Alice growing up post-accident: she returns to and graduates from school with her friends, and the final Moment depicts her performing on the piano as an adult, presumably to honour the dying promise she made with Hans.
As the Little Girl, she has a young appearance, with unkempt, long hazel hair with flat bangs and brown eyes (may differ in cover arts). She wears a white dress with a black collar secured by a thin black ribbon, black leggings and a pair of red boots with white cuffs. She also wears a pair of black gloves.
As Alice, her appearance is almost identical to the Little Girl, but with neater hair. She wears a blue dress with white collar, ribbon and frills, white leggings and a pair of black shoes.
When the Little Girl gains access to the Second Floor, the Masked Lady attempts to stop her, but Deemo silently strokes the Masked Lady's head to convince her otherwise. Seeing this, the Little Girl notes that the bond between Deemo and the Masked Lady is stronger than the one between her and Deemo.
In the Upper Stairs, the Little Girl realises that the books lying on the ground throughout the castle is not a result of Deemo's untidiness, but her own memories in disarray.
In the Top Floor, the Little Girl notes that the piano there is the one someone precious to her played on.