Unlock the following stages by performing the corresponding tasks:

STAGE - HOW TO UNLOCK
Arena - Complete Southern Woodlands.
Subterranean Pavilion - Complete 16th Archaeological Expedition's Excavation Site under the Hard difficulty.
Kigan Island - In Abyss Gate under the Hard difficulty, defeat a man with straw hat, take his items, then exit to the world map.
Mishima Industries, Biotech Research Station Ruins stage - Go right at the first junction in Seahorse Grand Hotel, then defeat the Kangeroo and complete the stage.
Nightmare Train - Complete Azazel's Temple, Central Corridor. Alternately, play through the Campaign mode to very end. After the final fight and credits roll, a new stage will open up with the Nightmare Train. Note - The Nightmare Train is a never ending survival mode. This object is to drop items to be used on your characters in Campaign mode.