Successfully complete Survival mode three times (stages 1 to 18, 1 to 36, or 1 to 56 each) to unlock a set of wallpaper. Press LB and RB at the title screen to switch wallpapers.

Aya's Wallpaper: Complete Story mode.
Saki's Wallpaper: Complete Rain of Bullets level 1.
Annna's Wallpaper: Complete Rain of Bullets level 2.
Reiko's Wallpaper: Complete Rain of Bullets level 3.
Aides' Wall paper: Complete Arrival in the Abyss level 1.
Misery's Wallpaper: Complete Arrival in the Abyss level 2.
Himiko's Wallpaper: Complete Arrival in the Abyss level 3.

A second set of wallpaper is unlocked by frequently executing Anna's X + A Ecstasy attack in a stage.