We've moved on from vampires to witches, but the Devil's influence can still be felt.
Back in the dark, gloomy, Gothic London on Penny Dreadful, everyone's where we last them (spoilers for the first season): Mina Murray was found hiding among the vampires in the Grand Guignol Theatre, and her father Sir Malcolm (Timothy Dalton) killed her when she threatened Vanessa Ives (Eva Green), whom we learned the "Master" has some grand design for.
Ethan Chandler (Josh Hartnett) is a werewolf, having attacked the men his father sent to bring back to America and slaughtered the occupants of a bar. Meanwhile, Dr. Frankenstein (Harry Treadaway) has reanimated Brona Craft (Billie Piper), now dubbed Lilly, to be a mate for his first creation (Rory Kinnear), who has adopted the name of his favorite poet John Clare and gets a job in a faltering wax museum.
New enemies have emerged: a coven of witches known as the "Nightcomers." They are led by Evelyn Poole aka Madame Kali (Helen McCrory), whom we first saw conducting the seance at the society party in the last season hosted by the eccentric Egyptologist Ferdinand Lyle (Simon Russell Beale), who is secretly in her thrall. Evelyn wants to get Vanessa for her dark master, and to do so, she plans to enchant and seduce her protector: Sir Malcolm.
In my writeup of the first season, I noted how the monsters and demons stood in as representations of the dark, buried secrets of the characters, old shames and guilt coming home to roost in the most horrific of ways. By comparison, season 2 is less metaphorical and more literal. Those old shames and secrets are used by the witches to torment the characters. The family members they've hurt, the friends they've betrayed, they come back, in a manner of speaking, to haunt the protagonists at their lowest points and drive them to despair and damnation. Of course, Evelyn and her brood aren't afraid to get their hands dirty when the time calls for it. The coven has two forms: respectable-looking, classy, Victorian women and naked, hairless harpies who move and fly with supernatural speed, have sharp claws, and can camouflage themselves.
We also learn more about Vanessa's past. One episode is a flashback detailing her life between her stint in a sanitarium and returning to London. Knowing the dark power within, she seeks out another witch, Joan Clayton (Patti LuPone) to guide and instruct her. This is the episode that illustrates the real-life horror of how society treated suspected witches. Joan is essentially a midwife, who also conducts abortions for young women, and her demise is the result of greed, insecure masculinity, superstition, ignorance, and mob rule. True, Evelyn had her hand in orchestrating the whole affair, but the villagers almost made it too easy for her.