Have You Heard? That Rumor About the Magical Girls is the title of the first episode of the Magia Record: Puella Magi Madoka Magica Side Story anime.
Tamaki Iroha exits a train to fight off a monster. She successfully rescues a cat and returns it to a child. Returning home, she bids goodbye to her parents.
A magical girl, Iroha cannot remember her wish that Kyubey supposedly granted when she became one. She voices that not getting any more Grief Seeds is a problem, but it is better than Witches causing any more damage. Kuroe is another magical girl and Iroha learns that they can be saved in Kamihama City. The train journey is interrupted by a Witch's labyrinth, ending with Iroha finding Kuroe on the ground.
They are rescued due to the arrival of magical girl Yachiyo Nanami, who uses multiple spears to help deal with the Witch. Learning they are in Kamihama, Nanami warns them to avoid Kamihama.
Iroha asks about a young Kyubey since one had helped her. She is reminded of her younger sister, Ui, and how she among others also felt that heading to Kamihama would save them. Iroha asks Kyubey to cure Ui's disease, before waking up.