It is explained in the anime that AniYoko itself is an alternative world inhabited by stuffed-animal-like creatures. The only method of travel between AniYoko and the human world is through a door mounted in the floor of Ami's bedroom. The Trio has given many conflicting and spurious explanations for how the door got there, but the real answer may never be revealed to Ami nor the viewer. Still, nothing overly sinister appears to be involved - As Kenta said in the second story, "That's the setting for the story, so don't worry about it", breaking the fourth wall, something that happens often in the show.

The door is two-way. It is most often used by the Trio to enter our world and interact with Ami, who they seem to find strangely fascinating. Ami could go through the door herself and enter AniYoko but, due to the insistent Trio and their strange often frightening stories, has yet to do so in the anime and AniYoko itself has never actually appeared, with only a dark space being shown whenever Ami looks inside. Scenes of AniYoko do appear in the Trio's recollections and stories, but these often are immediately shown to be false, and no objective AniYoko scenes have ever been shown. On one episode, it has shown Iyo's bedroom.

The presence of the door and the Trio seems to have had some effect on Ami's room itself. Ami and the Trio frequently find that they can go to many other places, such as a jungle, a forest, a baseball stadium (complete with crowd) and an RPG-style dungeon, without actually leaving the room.