At the beginning of the game, you will have to choose between the Persona 3 Protagonist and the Persona 4 one. There are only a few major differences between the two of them, notably in the different cutscenes that the game presents to you. The Persona 3 story will focus on the characters from that game, while the Persona 4 story will focus on those characters. If you want to do everything in the game, you will have to play through both stories.