At the start, Hikaru, Umi and Fuu get sucked into the floor and end up falling through the sky in some weird world. This is the magical world of Cefiro, where "your Will determines everything". It turns out that the three of them ARE the "legendary Magic Knights" who were called from their world by Princess Emeraude (that girl they saw all of a sudden in Tokyo Tower), the "Pillar" of Cefiro.
Cefiro is in turmoil at the moment, and the girls learn that everything in this world depends on the heart of Princess Emeraude. As "Pillar" of this world, she has to concentrate on protecting it and doesn't have the freedom to love anything else.
The Magic Knights meet some residents of Cefiro, like Mokona (this cute little rabbit-type creature that is perpetually happy and always making these "Pu-pu Pu!" sounds), Clef, Ferio, and Presia...
The knights think it's their duty to save Princess Emeraude, who is supposedly being held captive by some evil priest called Zagato. To rescue the princess and save the world, the girls first have to go through tests to call forth the legendary Mashin (rune-gods). To me, the Mashin look like these humungo robot things, like Gundams, or something in Robotech... But anyway, each of the three girls has certain powers, like Hikaru's is fire, Umi's is water, and Fuu's is wind (typical).
I think the story is really cool in that at the end the knights kill Zagato only to find out that the princess hadn't called them to Cefiro to kill Zagato - she had wanted them to kill her. She and Zagato had fallen in love and the world was in turmoil because her heart was divided (I don't know how to explain it better!! YOU try it with my sucky reading skills).
Since a "Pillar" can't ever commit suicide, the princess wanted to be killed in order to preserve the peace of Cefiro. But oops, too late...the knights killed Zagato. His last wish (it was really sweet) was for the princess to achieve freedom. But when the princess found that Zagato had been killed, she was so sad ("sad" is not really the word for it, but....my vocabulary's not that good okay?? sheesh) that she suddenly, well...grew up (she looked like a seven-year-old before) and decided to kill the knights.
The knights had to fight her in self-defense, and were totally getting whipped because they didn't want to hurt the princess. Then they heard the princess's plea for them to kill her....see, the grown-up version of the princess was because of her sorrow and anger at Zagato's death. Her old self (this sounds stupid.....oh well...) begged the knights to kill her and end it all. It took a struggle, but they did it. Then they all got zapped back to Tokyo Tower, and appeared there hugging each other and crying because of such a sad and stupid ending to it all. That's the end of the first series.