Legitimately

Physical

Again, all discs work. All episodes that are entitled to you for the specific copy are downloadable and work fine. One quirk is that the S2 Japanese copy has all episodes pre-installed. This is not the case on any other physical copy. Another quirk with the S2 Japanese copy is that recreating your S1 save isn't possible, likely because S1 never released in Japan. 

(Credits to RedCraft for bringing this to light.)

Note: Discs are playable on PS5 with no issues.

Yarr!

Homebrew

You’d need a jailbreakable PS4 this means that you need to be at firmware 12.02 or lower. (As of August 2025.) ConsoleMods has a detailed thread for every firmware up to 12.02.
If the thread recommends you update to a newer firmware, you need to install an update via USB, and use an update file here.

The best place to get a pkg is dlpsgame. Download link here.
PKGs are easily installable via the GoldHEN Package Installer menu, but you probably know that already if you have a modded PS4.

While MCSM was never released on the Vita (although it was (supposedly) planned to release alongside the Wii U version), it's worth mentioning that MCSM is playable on the system via remote play with an internet connection and a PS4 system.