After you've unlocked Nightmare Mode and Ultimate Mode, you'll automatically gain access to the Boss Rush, which gives you control of all four party members and a selection of their subweapons. Note that you can only equip one subweapon per character per fight, and Zangetsu doesn't have any of his special abilities from the Bad Ending route.
Finish stage one for the 1st time.
After beating the game on Normal Mode, you'll unlock Nightmare Mode, which continues the story and gives you immediate access to all the characters except Zangetsu.
When you play through Normal Mode, don't recruit any of the three companions when prompted. Instead, kill all of them. Zangetsu will gain their souls and a special ability from each of them. Beating the game this way will unlock a third gameplay setting called Ultimate Mode, which lets you replay the game with Zangetsu's abilities and the opportunity to recruit your companions.