Penny Dreadful features prominent bisexual characters like Dorian Gray and Ethan Chandler, whose relationships with both men and women are depicted with complexity, passion, and agency. The show integrates their LGBTQ+ identities into their full, often dark, personas without demonizing or ridiculing them, treating same-sex intimacy with the same narrative weight as heterosexual relationships within its gothic setting.

The show features female characters who engage in and win direct physical combat against male opponents. Catriona Hartdegen demonstrates skill with melee weapons and martial arts, while Justine employs knives in close-quarters encounters against men.

Dr. Henry Jekyll, a character canonically established as white in Robert Louis Stevenson's 'Strange Case of Dr. Jekyll and Mr. Hyde,' is portrayed by Shazad Latif, an actor of South Asian descent, in the series.

The series portrays Christianity with significant depth, showing both the solace and struggle it offers. While some Christian characters exhibit hypocrisy or bigotry, the narrative often frames these as individual failings. Christian rituals are depicted as having genuine power against supernatural evil, and characters' faith, though tested, is often a source of strength and a means of combating darkness.

The film portrays Jewish characters with deep sympathy and respect, depicting their faith as a source of resilience, community, and profound human kindness. The narrative positions the audience to empathize with their experiences and appreciate their moral compass.