Set in an unidentified location, the members of the "Shadow Parade" set out in matching red shoes. They say they seek the end, wherever it is. On the road, they encounter someone they deem a "wicked thief," whom they steal from before he can steal from them "in the name of divine justice." As they travel along, they become hungry. Finding a house that the paraders claim belongs to another "wicked thief," they steal the food inside after saying thanks.
They carry the "emblem of the moon" on their backs and their red footsteps echo out. In the afternoon, the parade becomes "sick for human warmth," finds a family of "wicked thieves" and rapes them. The parade then comes across a "wicked thief" who is laughing so they kill him out of envy, again, "in the name of divine justice." Now covered in blood, they demand people admire their never ending march as their iron footsteps echo.
Later on in the song, a whistle signals the end of their journey as guards herd the paraders into a prison. Many days later the parade is released and they journey forth, again in matching red shoes. As they journey forth, people stare at them- some laugh, while some cry. Their red shoes begin to burn their feet like fire, as the parade realize the shoes they wear are actually red hot iron. The parade burns out, as they are punished for their deeds.
Reminiscent of a Spanish folk melody, the song uses castanets, bongos, Spanish guitar, piano, accordion, and background noises including the sounds of whistling and the ringing of bells. The VOCALOID2 voicebanks for Megurine Luka, Hatsune Miku, and both Kagamine Rin and Len are utilized.
The song begins with percussion, and the first chorus is sung at 0.08, replaced by an instrumental break until 0.33, when the first verse begins, sung by Miku. The verse continues and switches to Rin and Len. By 1.05, Luka begins to sing the pre-chorus; later, everyone joins in to sing the second chorus at 1.21. The second verse continues in the style of the first, except Luka and Miku can be heard for their respective parts, while Rin and Len sing together in the next part and in the second pre-chorus. The third chorus begins at 2.30, followed by a longer instrumental break, which ends at 3.13, when the bridge begins. The music briefly ends at 3.30, followed by the whistling sounds. Immediately after, the bridge continues, cheerily, with a final chorus, deviating from the first three. The song ends with a final verse, and the sound of bells can be heard at 4.40.
The song's story is inspired by the Brothers Grimm's tale "Snow White"; in the story, the Queen is forced to "dance" to her death while wearing red-hot iron shoes as a form of punishment for her narcissism.