THE KING OF FIGHTERS XV

From the main menu pick "DJ Station" then press Right Stick you will see a list of all the albums they included in the game, also you will see about 17 locked albums and you will see under the album's name the requirement to unlock the album.

Example:
THE KING OF FIGHTERS XIII
clear story mode with Elizabeth, King and ???. (need to guess which is the 3rd character to unlock)

so clear the required team in story mode at easiest difficulty to finish quickly
here is the complete list:
KOF13:
Elisabeth, King, Shermie

KOF12:
Kyo, K', Ash

KOF11:
Isla, K, Khronen

KOF2003:
Yuri, Athena, Isla

KOF2002:
Dolores, Dinosaur, Clark

KOF2001:
Ryo, Krohnen, Angel

KOF2000:
Ramon, Angel, Dinosaur

KOF99:
Meitenkun, Kula, Chris

KOF98:
Benimaru, Robert, Yashiro

KOF97:
Shun-ei, Leona, Iori

KOF96: credits to DouguiNEW
Mai, Luong, Chizuru

KOF95: credits to ChenZheChina
Terry, Vanessa, Dolores

Fatal Fury:
Terry, Andy, Shun'ei

Samurai Shodown:
Ralf, Maxima, Antonov

Metal Slug:
Ralf, Clark, Heidern

Neo-Geo:
Kyo, Ryo, Terry

SNK:
Ralf, Clark, Athena

credit to everyone in r/kof subreddit