The original Donkey Kong features three characters: Donkey Kong, a large, antagonistic gorilla; Mario, the overall-wearing protagonist; and Pauline, Mario's girlfriend. Donkey Kong follows Mario as he ascends a construction site to rescue Pauline from Donkey Kong, his escaped pet ape. In the sequel, Donkey Kong Jr., Mario imprisons Donkey Kong in a cage. The game introduces Donkey Kong's son, the diaper-wearing Donkey Kong Jr. Mario, Pauline, Donkey Kong, and Jr. return in the 1994 Game Boy Donkey Kong, in which Mario again must rescue Pauline from the Kongs. The Game Boy game was the first Donkey Kong game to depict Donkey Kong wearing a red necktie bearing his initials, "DK".

Beginning with Donkey Kong Country, Donkey Kong's role shifted from antagonist to protagonist. Rare's Kevin Bayliss redesigned him; alongside the red tie from the Game Boy game, he was given what GamesRadar+ described as "menacing, sunken eyes and [a] beak-like muzzle", and Bayliss designed him as blocky and muscular to make animating him easier. The Donkey Kong in Rare's games is a separate character from the one in the arcade games, who appears as the elderly Cranky Kong. Cranky Kong provides scathing, fourth wall-breaking humor in which he unfavorably compares current games to older ones like the original Donkey Kong. Nintendo's stance on whether Cranky is Donkey Kong's father, making the modern Donkey Kong a grown-up Donkey Kong Jr., or grandfather has been inconsistent.

Rare's games moved the franchise's primary setting from a city to Donkey Kong Island, an idyllic isle. Because Donkey Kong did not have much of an established universe, Rare was free to expand it with new characters. Donkey Kong Country introduced Diddy Kong, Donkey Kong's sidekick and nephew. Diddy's design was based on a spider monkey; he was created as a redesign of Donkey Kong Jr. but retooled into a separate character at Nintendo's request. As a result, Donkey Kong Jr. has made few appearances since Country. Other supporting Kong characters that Rare introduced include Funky Kong, a surfer; Candy Kong, Donkey Kong's girlfriend; Dixie Kong, Diddy's girlfriend; Kiddy Kong, a large toddler; Chunky Kong, Kiddy's brother; Tiny Kong, Dixie's sister; and Lanky Kong, a buffoonish orangutan.

Country introduced King K. Rool, an anthropomorphic crocodile who serves as the series' main antagonist. K. Rool leads the Kremlings, an army of crocodiles who seek to steal Donkey Kong's hoard of bananas. Their name is a play on the Moscow Kremlin and their theme music incorporates Soviet influences. Polygon summarized K. Rool as an archetypal game villain who "often wears disguises and invents strange gadgets for his elaborately evil schemes", such as dressing as a pirate captain in Donkey Kong Country 2. Other villains introduced in the Retro Studios Country games include the Tiki Tak Tribe, a race of floating masks who hypnotize animals into stealing the banana hoard, and the Snowmads, Viking invaders who summon a dragon to take over Donkey Kong Island.