The term nightmare, despite its current use to describe any ominous dream, actually refers to the states known as the waking dream or sleep paralysis, usually associated with rapid eye movement. Through early European history these states were thought to be caused by demons such as the succubi or the hags. Collectively, these female night demons were known as mara or mare and from this was born the word "nightmare."
In more modern culture, when personifying nightmares, artists and story tellers tend to take from the more modern term for mare, which is the given name for a female horse. Thus they are often portrayed as ghostly black horses often with manes of flame or smoke to represent their malevolent nature.
"Origin: Western Europe. Demons which inflict nightmares on people. Since mares are female mares, they are depicted as black horses of the night. They're phantasmagoric monsters which instill fear in one's dreams."
—Shin Megami Tensei A-Mode DDS dictionary
Megami Ibunroku Persona[]
First appearing in the Abandoned Factory, Nightmare prefer to use its skills to debilitate the party before attacking.
DemiKids Light & Dark[]
"A winged horse-like demon said to have the ability to strip an enemy of its powers."
A Nightmare attacked Setsuna Kai after he was given a Devil Riser by an unnamed boy. Setsuna attempted to fight back against the demon with a broken piece of wood, but it proved ineffective and was taken and thrown back at him, impaling him through the ribs. Assuming the boy was no longer in any shape to fight back, the Nightmare attempted to take the Messiah Horn and leave, but was proven wrong when Setsuna awakened to his power and blew the Nightmare out of the room while summoning Cool the Cerberus. When the Nightmare returned to finish Setsuna and Cool off, he accidentally used the power of the Messiah Horn in an attack, opening a gateway to Ice Land. Cool then fired an Agi at the demon which broke through his Zan and destroyed him.
