Enma (炎魔?): He has returned to the mortal world in order to get rid of the demons that have escaped from the underworld. He is a fire-based demon and he's the nephew of Enma-Daio. His name in Kanji means flame demon and it's read the same way as Enma, the ruler of the underworld.
Yukihime (雪鬼姫?): She is an ice-based demon who acts as the partner of Enma in their endeavour to return the escaped demons to the underworld. In the OVA, while she has a cold personality and certain disdain for Enma on the surface, she actually is in love with him but knows and regrets that they cannot be together since they are opposing forces (Ice/Flame). This situation plays an important part when she gets possessed by a demon. Her name means snow devil princess and its probably related to the Japanese folklore myth of Yuki-onna.
Kapaeru (カパエル?): He is a Kappa who has been living in the mortal realm for many years. He is in charge of gathering information regarding the location of the hunted demons. In the OVA, he has fooled persons into believing that his appearance is a disguise. He has a secret contact (whom he holds dear) that helps him get most of the clues of the cases. Both of them die at the hands of the demon that possesses Yukihime. In the manga, he tricks and betrays Enma and Yukihime.
Grandpa Chapeauji (シャポ爺,shapojii?): An old demon with the form of a hat, he possesses great knowledge in all the matters related to the underworld and demons. In the OVA, he is often sleeping because of his old age and is mostly in the head of Enma. While he rarely takes action, he advices Enma of the best course of action as well as alerting him of the presence of demons. In the manga, he is younger, can change of shape and appearance, has a more aggressive personality and a more active role.