Mazoku are genderless spiritual being that resides on the astral plane.
There is a Sea of Chaos. Many staffs stand in the Sea of Chaos, and on top of each staff there lays a universe. Each universe has its own God and Dark God. Lord of Nightmares created several universes. In Ruby-Eye Shabranigdo's universe, Mazoku know that there are three other universes with one God and Dark God each. Each God and Dark God are fighting each other, because they are doomed to keep fighting by their creator. At some point around 5000 years before the events of the series, during the battle with Ceifeed, Shabranigdo created five Dark Lord Mazoku, to be his sub-lords. They were Hellmaster Phibrizzo, Dynast Grawshellar, Deep Sea Dolphin, Chaos Dragon Gaav, and Great Beast Zelas Metallium. Phibrizzo is the mightiest and the most cunning, and is the leader of the five Dark Lords of the Ruby Eye. 4000 years have past since Shabranigdo and Ceifeed last battle, the five Dark Lords of the Ruby Eye created their own confident Mazoku. Some were generals, some were priests. Zelas Metallium created only one priest, Xellos. Xellos is the mightiest priest of the Mazoku, because the power that was split between one priest and one general (or, in the case of Dynast, two priests and two generals) was invested in him alone. Thus, he can only be defeated by any of the original five Dark Lords.
Mazoku remain in the astral plane and pursue a single goal, to return all forms of existence to the Sea of Chaos. Most Mazoku have manage to materialize in the physical plane, with varying degrees of talent according to their rank. To Mazokus humans are not enemies but prey, they feed on negative emotions in humans. This is the main reason that drives them to try to make their appearance and to move among them. It is impossible for a human to defend a direct attack on the astral plane against a Mazoku. Anything that pushes a Mazoku to deny its existence weakens it. The simple act of thinking "I am weak" or "there is too much for me" will play a role in its actual capabilities. In other words, it is dangerous for them to have integrity of feeling weak, cornered, or to use a power that is not theres. Most Mazoku are linked to its creator, the sense of loyalty is as paramount.