Heather is a puppet who shares similar characteristics as Headdy, she retains the floating limb design and is essentially a female counterpart in appearance.
Heather is an NPC but often appears after the player has defeated a Keymaster, who act as the game's boss encounters. It is implied that she exploits Headdy's attraction to her, in order to obtain these keys once the keymasters are defeated. Her role initially one that is shrouded in mystery, she simply appears to be single minded in her collection of each of the keys, at one point she even defeats one of the bosses before the player even gets a chance to face them.
As the story progresses it is revealed that the purpose of her key collecting is to reveal the entrance to the castle of King Dark Demon, before this can be done however, she is kidnapped by the Gatekeeper, a robot who watches over the castle. Headdy successfully defeats the Gatekeeper but the rescue remains in vain however, as Dark Demon kidnaps Heather, and holds her in his throne room. It is not until the final stage that Headdy can finally defeat Dark Demon and with it, rescue Heather.