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I have heard of both Eternal Punishment and Innocent Sin, but are they both the same game or two parts to the overall Persona story? I am new to the Persona series and am trying to get all of this straightened out.
Actually, it's the same universe but the events of Innocent Sin forced a cosmic reboot. Playing Sin first will give you an appreciation for quite a few things in Punishment, especially in the early game when quite a few things some people say reference events in Sin about which the player cannot have had knowledge thanks to Atlus USA not giving us an official port (Viva la Gemini!).