Hidden Character and Mode
From substance J

Beat the game using any difficulty setting and any number of continues, and when you return to the main menu you will see a new option called S-Continue. Select this mode and you will now be able to play as a new, Female character, as well as improve your original combat ranking (24 different ranks are available).

Level Path Chart
From nnooiissee

Use this easy to follow chart to find your way to any level you wish. It is based on the original path chart published by Neo Geo Freak, and converted by nnooiissee for more efficient use. Click Here to download the scan.

Level Path Chart (source scan)
From Torture

This level chart was originally published in Neo Geo Freak Magazine, and displays all possible routs through the level structure of Metal Slug: 1st Mission. It is in Japanese, but easy to understand simply by looking at the colored chart and level numbers. Click Here to download the scan.