Hello and welcome.
Critique:
first of all, for fighter sprites that will have to be overanimated, lose the dithering. Especially from-black dithering. Dithering doesn't work well in animation, since it suggests texture when still, but just noise when moving.
Also this is probably on the whole a bit too dark. Punch up the lightness on the clothes, and possibly even the effect out with a bit less saturation.
As far as anatomy and structure goes, if you browse sprites from fighter games you'll notice they usually apply the 'heroic physique' model where the body is 8+1/2 or even 9 heads tall (and in some cases even much, much more, but here we're talking about a wee girl so no need to reference Sagat here). Right now you're using semi-cartoony 5 heads tall body, which really doesn't suit the style of most fighter games we use as the context for the king of fighters thing. But that might still be the physique you were going for and that's fine. The issue is, from her proportions it looks as if she'd be sakura tall. if you place your character next to the rest of the fighter sprites in the thread, or next to pro sprites of the capcom/snk variety, you'll find she's close to the height of most adult males in these games. This basically means, you worked on a bigger scale than most people did. It's not really the biggest of deals for KoS: 2k6, but generally it's a good skillbuilder to keep to the sizes that are suggested.
If you really want to fix this, you'll have to do something really difficult: scale a pixel sprite down, tweak, repaint parts and adjust until you're bored out of your mind and it'll still NEVER look as good as the scaled up version. Pixel art doesn't kindly take to scaling but sometimes it's all you can do besides starting from scratch.
Even if you don't scale down, you have another anatomy issue: the legs are shorter than they probably should be, about half a head on thigh and half a head on shins. Again, you might be sticking to your own sense of how the character should be (I'm saying this because generally there seems to be a strong grasp of anatomy and pose here so it wouldn't surprise me if the 'error' was a calculated one), but in the case it happened by accident, a good rule of thumb is to check if from the toes to the crotch, and from the crotch to the top of the head the sprite is divided in two equal parts. Most fighter sprites further exaggerate, giving more leg to characters (which makes sense since they'll be kicking and punching and all that so reach is important) but I personally prefer a bit more realism than that.
Good work on using skin tones on shoes, but I'd probably call foul on the way you've highlighted the key with yellows. I can't see a yellow highlight on blue steel for the life of me. It's also a nice idea and pretty well executed to go from yellow mainskin to purple stuff since it unifies the palette with the clothes, and anyway, the complementary colour of yellow is purple. I'd personally take the saturation down on the whole darker end of the colourramp, and push the lightness up a bit, but it's probably just me.