Supergiant's Hades is in many ways a departure from the studio's earlier work. Unlike Bastion, Transistor, or Pyre, it's a roguelike dungeon crawler, and it's also the first of the team's games to be put out in early access.
One thing that ties all of Supergiant's work together, though, is a strong narrative. Hades' protagonist is Zagreus, a blurry member of the Greek pantheon who is seen only through fragmentary texts that identify him as the son of Hades, lord of the underworld. (He may have later been merged with the myth of the god of wine, Dionysus, further obscuring his original tales.) The developers took this loose foundation and built up their own character, a rebellious young man who wants to escape his father's underworld, tasking the player with battling through an ever-shifting maze of enemies in an attempt to reach the surface.
Creative director Greg Kasavin has worked on writing and implementing the narrative on all four of Supergiant's games, but this is the first one to draw on an existing mythology. He tells me that this narrative foundation first came from the structure of the game they wanted to make.