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.
Boss Rush Mode codes
Once Boss Rush Mode has been unlocked, you can hold any combination of the following buttons to activate their respective features when selecting Boss Rush from the title screen.
Code
Effect
L1
Nightmare Mode Difficulty.
R1
Ultimate Mode Zangetsu.
Square
Hearts and Sub-Weapons replenish after each battle.
Triangle
Infinite Weapon Points.
Nightmare Mode
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.
Second and Third Difficulties
To unlock the second difficulty, beat the game normally. To unlock the third difficulty, beat the game on normal while sacrificing your companions instead of recruiting them. This will limit you to the starting character for the run, and almost no power ups as they need other characters abilities to get, but does give the starting character three new moves (to sacrifice, just attack the companions instead of pressing up near them after the first three boss fights).
Ultimate Mode
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.