A subtrope of Mysterious Waif. Stereotypical party member in many RPGs. The Mystical Waif is usually a physically young girl (although she may be Really 700 Years Old) with a mysterious, plot-relevant past (often symbolized by an Orphan's Plot Trinket). The bad guys usually want to exploit her powers to control/destroy the world, while the heroes want to save her out of chivalry or general contrariness. Often magically inclined. Usually the last scion of some mysterious, previously unknown society or race, and not uncommonly the last of her kind. She usually joins the party eventually, although she may spend some time as a Damsel in Distress before then.
Personality-wise, the Mystical Waif is usually pure-hearted and kind, although she can seem distant at times. She is also extremely naive about the world, and unfamiliar with even the most basic facets of the characters' lives. That is, she has No Social Skills — which can be Played for Laughs in the more light-hearted parts. Occasionally she'll begin the game not being able to speak the main characters' language. She can be selfless to the point of self-sacrifice at times. Sometimes she provides exposition — the introduction of the Mystical Waif (or the revelation of her true identity or purpose) is often what propels the plot from random adventuring to serious world-saving, as she recruits the rest of the party to help her collect the crystals.
Sure signs you're dealing with a Mystical Waif are odd hair colors; weird (by the standards of the game world), often futuristic-themed clothing; magical powers; blank, serious facial expressions; lots of ellipses in her speech; and an inordinate amount of attention from the villains. Even if it's blatantly obvious that she has some significant role in the Evil Plan and/or something to hide, the other characters will often not press her on it.
Gameplay-wise, the Mystical Waif is almost always magic-oriented. She often overlaps with the White Magician Girl, or if more proactive, as Barrier Warrior or Squishy Wizard. She'll have weak physical stats, but strong magical stats and average-or-better speed. Her quality as a game character is almost entirely tied up in how powerful her attack spells are and whether anyone else has the ability to heal. Lots of Mystical Waifs spend a lot of time on the bench, fighting either not at all or only against bosses where constant healing is required.
If the game allows the main character to develop a romance, the Mystical Waif is almost always a contender - if not the only one.
See also Waif Prophet, Oracular Urchin, Mysterious Waif-tan.
Examples
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Anime and Manga
Despite not being a video game character, Hotaru Tomoe/Sailor Saturn from Sailor Moon seems to have many characteristics of this trope. She is mysterious, ready for a self-sacrifice, and wears unusually dark clothes; she also has several mysterious powers even outside of her Sailor Senshi identity (although many of the other girls did too). Her situation is somewhat different, as there are three sides involved: Sailor Moon, who wants to save her; the Guardians of the Outer Solar System, who want to get rid of her as she poses a threat to the world; and the evil Death Busters, who want to destroy the world with her help. A couple seasons later, she joins the main cast, and her powers overlap somewhat with those of the White Magician GirlCool Big Sis, Sailor Pluto.
Yagami Hikari from Digimon Adventure and Digimon Adventure 02, the human lightbulb. Also an Ill Girl, she is the only one to have a Crest (Light) that doesn't refer to an innate virtue or trait. The powers of this Crest usually manifest themselves in weird ways, and she has been shown as both 1) unusually self-sacrificing and 2) drawn to the Dark Ocean, because of her powers and walled-in emotional problems. She's also empathetic to the point of being borderline psychic, which sends her into two Heroic BSODs in 02 (and during the last one, her best friend Miyako has to literally bitchslap her back to sanity).
Reverie "Ren" Metherlence of Elemental Gelade is a mysterious and legendary weapon who is frequently rendered helpless and constantly protected by the main character.
The manga based on the Galaxy Angel gameverse gives Chitose a bit of this.
Kisara of Yu-Gi-Oh!, the white-haired and blue-eyed Egyptian and homeless, quiet, vaguely psychic, mysterious keeper of the spirit of the Blue-Eyes White Dragon who sacrificed herself to protect the only person who ever showed her kindness, High Priest Seto...
Arguably, Lalah Sune from the original Mobile Suit Gundam, though she counts a bit more as Waif-Fu since she's one really powerful Newtype and a skilled pilot.
Chi from Chobits is an almost perfect example of this trope.
Asuna Kagurazaka from Mahou Sensei Negima!. The only exception is that she is rather tsundere, but shows the canonical catatonic personality in flashbacks.
Alvis Hamilton from Last Exile epitomizes this trope in every way, as "the key to the [legendary ship] Exile."
Yukina from Yu Yu Hakusho appears young but, like her brother Hiei, is a demon and therefore may be much older than she appears. She is pure-hearted, kind, distant, naïve, and has blue (or, arguably, sea-green) hair. She is targeted by villains either for her gem-making powers (They come from her tears! Awwww!) or because the main characters care about her and she is no Action Girl. She occasionally serves as the group's healer, due to her abilities in that field.
Lala Ru from Now and Then, Here and There. Ironically, she is neither pure-hearted nor kind. In fact, she hates all of humanity due to the utter HELL they put her through, and refuses to save the planet even though she has the power to do so. Until later, of course... but even then, you wish she hadn't.
Young Neese from Record of Lodoss War could be the poster girl for this trope. Her mother Leylia played a similar role in the OVA series, but is actually very tall.
This is one of the standard fantasy plots ridiculed by Yuru Yuri, with "the girl who fall from the sky".
Ophis "The Infinite One" in High School D×D is this. All she wanted was to kick Great Red out of the Dimension Gap and she became the Puppet King of Chaos Brigade just to fulfill her wishes. And then she joins Issei with most of her powers gone.
Fan Fiction
One of the very first Star Trek fan clubs, "Spock's Scribes", published a journal with satirical fan fiction about young women passengers on the Enterprise who cause trouble. Spock's human cousin Samantha Scott, written by the only adult member of the club, was definitely one of these. The daughter of Amanda's sister Amelia and a Dr. James Scott (no relation), both physicians on planet XX Larid, she was Raised by Natives after her parents died in an earthquake, and picked up Psychic Powers from them. She caused and attracted random chaos on the ship.
Film
Leeloo, the title character of The Fifth Element, though she doesn't exhibit any magical powers (at least until the end when she destroys the Big Bad). She does mix it up with Zorg's mooks with some mean Waif-Fu, however.
Literature
Flute, in the Elenium trilogy by David Eddings, is a small girl who is revealed, slowly, to have greater magical powers than anyone else in the party. She can control time and animals, among other things. Eventually they find out that Flute is actually the goddess Aphrael, which explains everything.
Luna Lovegood in Harry Potter Last of her line. Mother died when she was 9. Orphan's plot trinket = Butterbeer cork necklace and Dirigible plum earrings. Also pure-hearted and kind, distracted at times, weird, persecuted, absolutely adorable!
Even more so in the (comparatively) prominent fan fiction The Book of Morgan Le-Fey, where she is the last heir of Morgan Le-Fey and hunted by the big bad.
Even more than that is in the fic, half kissed hero, in which she is the descendent of every major female fairy tale heroine
Don't forget that she turns out to be pretty darned good at magic herself and can notice things that others don't.
House of Many Ways features a little white dog who is actually named Waif, who had been living with Charmain's great-uncle William (Wizard Norland) for a short time. Waif is no ordinary dog, but a rare, magical enchanting dog. Later, we find out that Waif actually is the latest generation of the Elf Gift, which (or, as it turns out, who) is supposed to protect the royal family of High Norland. However, unlike most examples, besides having magical powers Waif does not act very mystical, but like an ordinary dog, who begs for scraps, overindulges on human food, and clings to Charmain who she has adopted as her owner.
Through a horrifying series of events, the mantle of The Archive was set upon young girl. Who can give a showing for herself in magical brawls set up as a trap for her personally.
In Terry Pratchett's Discworld novel Monstrous Regiment, Wazzer Goom fits this trope, as the brutalised girl who becomes the spiritual channel for communications with the long-dead Duchess of Borogravia.
Live Action TV
Maia, the child with the ability of Precognition from The 4400 fits many of the characteristics of this trope, with her slightly creepy otherworldliness (and, of course, her potentially important ability).
Kes from Star Trek: Voyager though her past is well-explained (if not her subsequent Face Heel Turn) given that she's only lived a couple of years when the crew encounters her.
Fina from Skies Of Arcadia, despite being a fairly recent character, defines this trope to a "T", hitting almost all the major aspects. She dramatically subverts one part however; she's the least powerful attacker for 99% of the game, until her Empathy Pet is upgraded to his final form, which has the highest attack power of any weapon in the game.
Chiki/Tiki, the young Manakete girl from the original Fire Emblem and its remake, Shadow Dragon. Also, Nagi, another female Manakete seems to be an older version of this trope.
Played with: she has many 'mysterious waif' traits, but her backstory is revealed even before the main character's, and she refuses to be treated like a damsel in distress (even insists on accompanying the hero because it's too dangerous for him to travel alone).
Ellone from Final Fantasy VIII - mysterious past, flowing robes, special powers desired by both sides.
Although she isn't playable, Zelda from the The Legend of Zelda series often fits this trope in most other respects.
Visas Marr from Star Wars: Knights of the Old Republic 2, though older than the archetype, otherwise fits this: she is sole survivor of the destruction of her planet, her species (Miraluka) are blind normally but "see" using the Force, and she speaks in strange ways. She can be sacrificed, if the player chooses to do so.
Isabella/Catleia from Advance Wars: Days of Ruin., though being from a strategy game she obviously doesn't have the RPG stats part of the trope, being instead a decent all-round CO with a Game Breaker CO power.
Not to mention she serves as a plot-relevant character in the campaign mode.
MOMO from Xenosaga is pretty much the poster child for this trope, although it is subverted very slightly in that she's actually the prototype for her kind, instead of the last.
Arc The Lad: Twilight of the Spirits plays this straight in Lillia, and also includes a somewhat bizarro version in the demon puppeteer Bebedora.
Mega Man Legends 2 has Sera, who plays the part perfectly, until after you collect the keys, when she takes over the ship and reveals herself to be the villain of the game.
Alouette from La Pucelle Tactics hits enough of the required traits to fit here. Although not the last of her kind, she is found with amnesia, is mostly good with magic (although, as with all Nippon Ichi games, you can customize her as you like), is self-sacrificing and is the current Maiden of Light, even if she doesn't know it, which is a powerful position held only by one woman at a time and chosen directly by the Goddess.
Avril from Wild ARMs 5 hits almost every single criteria for this trope. Silver hair, serious expression, unfamiliarity with customs, amnesia, sought by the antagonists, good with magic (although this is customizable), and Really 700 Years Old.
Sheba in Golden Sun and Golden Sun: The Lost Age, which is part of the reason why she's popular with the fandom. You know, for all the Epileptic Trees. Note, however, that unlike most examples of this trope, she's pretty snarky around people she's comfortable with.
Midna fits the "mysterious" and "plot trinket" part, and she looks like a young girl, or more accurately a young demoness. Unlike the standard Mystical Waif, though, she is very, very snarky.
Alicia from Valkyria Chronicles fits many of the traits from this trope, but it's all evened out by the fact that she's also an incredibly Bad AssAction Girl.
Lufia herself (and her analogues in the other games). She is kinda out-of-place in human society because she's actually a Sinistral, and the other Sinistrals want her to help them stay alive and do evil things, of course. She is also portrayed as cute, innocent, and a love interest of the hero, and of course, has lesser physical stats but uses magic well.
Subverted in Phantasy Star III with Maia, who is a mysterious, solemn, white-haired maiden who washes up on the beach, has no recollection of her past, and gets abducted by a dragon on her and Rhys' wedding day. Turns out the dragon is her shapeshifted brother, her amnesia was entirely mundane, and there's nothing unusual about Maia herself except that, of course, she's a princess. She doesn't even use magic.
Thankfully, Julius doesn't have the stereotypical Mysterious Waif personality; he's a snarky, cheerful Yandere who ordinarily likes to spend his time picking on the heroes and being kept out of trouble by Dark Lord. Once he becomes Vandole, his personality changes pretty drastically, though.
Shana from The Legend of Dragoon reeks of this trope. First she gets kidnapped and put in jail, then she turns out to be the moon child who will destroy the world. She exhibits the personality traits of this trope down to the letter.
Anne in Mitsumete Knight. No wonder when you're a Cute Ghost Girl with heavy backstory, blue hair, mysterious atmosphere, and crucial importance to the heroine's and the game's storyline.
Kingdom Of Loathing parodies this with the Quiet Healer, who often drops the Amulet of Plot Significance.
The very young looking Nami from Aoi Shiro (pictured above) who has amnesia and mysterious healing powers.
Similarly, Rose from the Street Fighter series is both this and a Lady of War. Not to mention, while she has a kind heart, she's more aloof and cool than the standard.
Wild Flower from Jade Empire. As if you couldn't tell just from the name.
Webcomics
Jonas of Phoenix Requiem is a rare male example.
Melissa in "Fortissima's Treasure Hunters". She was apparently encased in a large green crystal for several generations, is able to shoot fire from her fingers, speaks a backward language (literally! The words in her speech balloons are spelled in reverse), and her eyes glow when she sleeps. I'll wager that there's plenty more we haven't learned about her yet...
In many ways, Oasis from Sluggy Freelance is what you'd get if you trained her as an assassin and Brainwashed her into having a Yandere style crush.