My Hero is a simple beat-’em-up where the player moves to the right, fighting enemies with punches and kicks while avoiding being hit. After defeating several foes, the player faces a boss, and upon victory, briefly reunites with his girlfriend before she is kidnapped again. The game loops endlessly and ends only when all lives are lost.

There are three stages, each ending with a boss fight. In the arcade version, each stage had its own theme, enemies, and boss, giving the impression of time travel. On the Master System, only the first stage theme is used throughout the game, likely due to the limited storage of Sega Cards. Even in the later cartridge release, this was not changed.