To get all characters, at the main menu press Up, Up, Down, Down, Left, Right, Left, Right, Y, Y, X. Now go to the options screen and save options.
Do the following to get the corresponding effect:
Dory Funk: complete career mode using Tony Funk
Jimmy Hart: complete career mode using a Loved wrestler
King Kong Bundy: in the career mode finish the Southeast territory
Robert Gibson: complete tag tournament
Ricky Morton: complete tag tournament
the Erichs: complete career mode with Kevin Von Erich
Captain Lou Albano: complete career mode with a wrestler in the "Hated" category
Ivan Koloff: complete the versus tournament
Mr. Fuji: win the Tag Belts in tournament mode
Sabu: complete career mode as The Sheik