The Pegasus was the spirit of a boy named Helios in disguise. Helios is from the land of dreams called Elysion, where it is his duty to guard all beautful dreams with the an object called the Golden Crystal. However, an evil woman named Nehelenia wants to retreave the Golden Crystal from Helios so she can escape from the shadow of the Moon, where she was trapped, and conquer the Universe. But when Helios refuses to give her the Golden Crystal because she is wicked and has no beautiful dreams, Nehelenia becomse furious and attacks Elysion. Helios escapes and Nehelenia sends her servants from the Dead Moon Circus to find him.

  If the Golden Crystal were to fall into the hands of Nehelenia, Elysion would become a land of darkness and all dreams would be lost. While Helios was running from the Dead Moon Circus, he found the light of a beautiful dream. His spirit changes into the Pegasus, a winged horse with the Golden Crystal as his horn. The Pegasus flies towards the light and enters into a wonderful dream. The dream world he hides in is the dream world of Chibi-Usa. She can communicate with the Pegasus in her dreams inside her Golden Dream Mirror. Chibi-Usa is now able to protect him from the Dead Moon Circus and the evil plot of Nehelenia... that is, of course, if they do not find Chibi-Usa's Golden Dream Mirror.