Thanks, guys!
PypeBros, if I understand correctly, the frame you are talking about is supposed to be thick black smoke... I think it's effective the way it is, but if you disagree, an edit would help me to better understand your suggestion.
Mush, that totally makes sense. The reason it looks that way is that I've mirrored the left and right sprites to emulate the memory limitations of the era. However, I'm planning on making a 2-frame walk animation for each direction, so I think I can fix it by starting the left/right animations on opposite frames.