I'm just gonna leave my input, though I will say I am no where close to an experienced player, or even know how to play the game well, so take this with a grain of salt.
First, you should consider KOF as a game where pressure and rush can be constant, with your options of escaping being either risky, or cost you meter. With that in mind, you want to obtain some form of training mode, and understand your characters best offense and defensive options. So much as learning the max range of a normal will help at interrupting the opponent's often random attempts of rushing in. So you wanna clarify which characters you wish to pursue, learn their optimal combos, along with the speed and hitboxes of their normals and special attacks.
Now you will need to play a lot and watch some videos (both Dark Geese and Emil's channels being good starting points). Take note of how someone may attack or defend in a situation, and think of a counterattack for either, while not necessarily spamming and hoping something works (like I did). If you and your opponent are at somewhat of a standoff, and no fireballs are being thrown, you should consider that the opponent may just dash at your, or jump in on you. You gotta be ready for this, because at times, if you did not prevent the rush from happening, your chances of getting out are only slimmer. Eventually, you will learn of these ways, and will have counterattacks for predictable rush patterns, and even a rush and pressure game of your own to employ on the opponent. Basically, it takes work, so prepare for the lumps.
Also, keep in mind that if the game in particular is 2002, you must do these things much faster. Being that damage is fairly high in 2002, and the timer is only 45 seconds in real time. So you have a lot less time to spare in terms of defending, where you could have spent that time attacking.