The Speaker is an unnamed individual standing alone in a cold, snowy setting on Christmas Day. Vulnerable to the harsh winter weather, he acts as an observer when he is struck by a hallucinatory vision of a glowing, burning infant. He passively receives the infant's message about spiritual purification, acting as a witness to the divine suffering presented to him.

The Burning Babe is a miraculous, levitating infant consumed by excessive heat, representing an infant version of Jesus Christ. Despite being newly born, he speaks in complete sentences and weeps tears that paradoxically feed the fire burning his body. He functions as a metaphorical furnace, willingly enduring continuous agony to forge and purify the defiled souls of humanity.

Robert Southwell is a Jesuit priest and poet operating secretly in 16th-century England. Born into a wealthy Catholic family, he travels to Flanders and Rome for his religious education before returning to London. Operating under disguises, he attempts to minister to the outlawed Catholic population, eventually writing poetry and letters while imprisoned.

Justice is a personified entity operating within the allegory of the infant's burning breast. Working in the spiritual foundry, Justice takes on the practical task of laying on the fuel, ensuring the fire of love remains hot enough to perform its purifying function.

Mercy is a personified figure functioning within the metaphorical forge of the Burning Babe's heart. Working alongside Justice, Mercy is responsible for blowing the coals, providing the necessary air to keep the purifying fires of love burning continuously.

Queen Elizabeth I is the ruler of 16th-century England. Following the policies set by her father, she maintains the Protestant Church of England as the national faith and outlaws public Catholic worship to ensure domestic peace. She relies on figures like Topcliffe to enforce her Religious Settlement of 1559 and suppress threats to her governance.

Robert Topcliffe is a priest hunter working directly for the English crown. He operates a private residence where he transports captured Catholic priests to interrogate them. He focuses on extracting information about the underground Catholic network operating secretly in London.

Henry VIII is a former King of England. He is responsible for the original schism between England and the Roman Catholic Church, a historic decision that creates the volatile religious environment his descendants inherit and attempt to control.

Mary I is a former Queen of England. During her reign, she actively persecutes Protestants in an effort to restore the Roman Catholic Church's influence, creating religious tensions that prompt the subsequent crackdown by her successor.

Sir Philip Howard is an English noble imprisoned in the Tower of London due to his adherence to the Catholic faith. He receives comforting letters from Southwell, which are eventually compiled into a published collection called An Epistle of Comfort.