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The eponymous Donkey Kong plays the game's de facto villain. He is the pet of a carpenter named Jumpman (along the same lines as Walkan and Pac-Man, later renamed Mario). The carpenter mistreats the ape, so Donkey Kong escapes and kidnaps Jumpman/Mario's girlfriend, originally known as the Lady, but later renamed Pauline. The player must take the role of Jumpman/Mario and rescue the girl. This was the first occurrence of the inherently heterosexual damsel-in-distress scenario that would provide the template for countless video games to come.

The game uses graphics and animation as vehicles of characterization. Donkey Kong smirks upon Jumpman/Mario's demise. The Lady/Pauline is instantly recognized as female from her pink dress and long hair,and "HELP!" appears frequently beside her. Jumpman/Mario, depicted in red overalls and cap, is an everyman character, a type common in Japan. Graphical limitations forced his design: Drawing a mouth was too difficult, so the character got a mustache; the programmers could not animate hair, so he got a cap; and to make his arm movements visible, he needed white gloves and colored overalls. The artwork used for the cabinets and promotional materials make these cartoon-like character designs even more explicit. The Lady/Pauline, for example, appears as a disheveled Fay Wray in a torn dress and stiletto heels.