The Dreamworld is another world existing in the Realm of Mind, created jointly by Roland, Zero, and the traitorous God's Apostle, Lan. Usually only those with extraordinary magic power such as Transcendent Witches and Demon Lords can enter the Realm of Mind, and only the Demon King was known to be capable of making a world of his own there. Despite this, Roland, who can not use magical power, has unconsciously created a world far more complete than the Demon King's. The Dreamworld is not just a dream, but an actual place of existence within the Realm of Mind, and was only named 'Dreamworld' due to the fact that Roland can only visit this world in his sleep.
The Dreamworld is mostly occupied by humans and reflects Roland's original world with thriving modern technology and immense knowledge. Everyone who Zero has ever defeated, including demons, exists in this world with no memories of their former life, and conveniently enough, all live in the same apartment building, with a doorway to their former live's memories hidden in their closets. Demons in this world are simply considered as another race of human, indigenous to the Cargarde Peninsula, and are not considered enemies. Instead this world is threatened by Erosions and humans corrupted by the erosions known as Fallen Evils. It is the Martialist Associate's duty to protect this world from Erosion and defeat the Fallen Evils.
Martialist are humans who are capable of using this world's form of magic known as "Force of Nature," which increases the users physical abilities such as speed, strength, and durability. Martialist may choose to join the Martialist Association and fight the Erosion and Fallen Evils. The Martialist Association operates in the whole world, and has several Branches each in a different city, exclusively developed to contain its Branch Office and all other supporting facilities inside it. Prism City and Sky City are some of them.
Although they are not forced to join the association, those who do are granted money, fame and power through the martialist fighting tournaments, and those who don't often fall victim to, or even become, Fallen Evils. These tournaments are used to spread awareness, fund their operations, and exist as a form of training for the Martialist to keep them fit for battle. There is a divide between traditionalist, who only care about fighting the Fallen Evils, and the Modern Martialist, who prioritize the tournaments.
Erosions and Fallen Evils
Erosions are voids in the Dreamworld, where the Dream world is connected to or being devoured by the the Realm of Mind. Through the Erosions, those in the physical world with high enough magical ability to enter the Realm of Mind, such as the human Transcendent Witch Scroll, or the Demon Lord Valkries, are able to enter the Dreamworld.
Likewise, God's Apostles can also move from the Realm of Mind and into the Dreamworld via the Erosions, and do so with the goal of spreading the erosion until it completely consumes the Dreamworld, thus returning it back to the Realm of Mind. Fallen Evils are humans corrupted by the Erosions and thus serve the God's Apostles.
Graycastle Design Bureau
The Graycastle Design Bureau was established by Roland within the Dreamworld, to think up solutions as how to quickly and efficiently modernize the Kingdom of Graycastle in the physical world. Originally consisting of just a small team of old timers and college enthusiast, it was only capable of working on just one or two projects at a time, but after Roland reveals to the martialist Association that he created their world and of the plight both worlds face, they quickly allocate more land, manpower, and resources to him, transforming it into a full state department capable of working on dozens of projects at the same time.
Effects on the Realm of Mind
"In that case… the Dream World is already interfering with your plan?"
"That's right. Not only does it occupy lots of resources and influences the stability of the core—as you should have already noticed. The magic users in the world are decreasing. This is all a symptom of the Realm of Mind being overtaxed. In order to prevent the Cradle's structure from collapsing, I have to return everything to its original state." 
- Roland and his wives reside in the Dream World by the end of the story. While Roland cannot return to his former world or the second, Anna and Nightingale frequently return to their world with fresh knowledge to help better Tilly's Kingdom.
- During Roland's battle with Zero, it's shown fictional items could be conjured, such as the Iron Man suit. However, because the comics never explained how Tony Stark's tech worked, Roland only created a useless suit of armor.
- It is hinted that in Roland's dream world, all inhabitants' appearances are determined by their individual soul. But for some reason, during Roland's time in the dream world, his appearance was shown as "Roland" but not "Cheng Yan".
- All Taquila witches that appeared in Roland's dream world were shown as their true appearances, further proving the theory.
- Chapter 1489