The main storyline going into the pay-per-view was the King of the Ring tournament itself. The first qualifying match took place at In Your House 1 where Mabel squashed Adam Bomb in the first round. The next First Round match took place on the May 15, 1995 edition of RAW, where Bob Holly defeated Mantaur to proceed to the Quarter-Finals. Razor Ramon proceeded to the Quarter-Finals on the May 20, 1995 edition of Superstars of Wrestling defeating Jacob Blu. Shawn Michaels was the next superstar through to the Quarter-Finals, as he defeated King Kong Bundy on the May 22, 1995 edition of RAW. The next First-Round match took place on Superstars of Wrestling on May 27, 1995, where Kama defeated Duke Droese via Pinfall. At the beginning of the May 29, 1995 edition of RAW, WWF Intercontinental Champion Jeff Jarrett, along with The Roadie, cut a promo with Jarrett stating that he would defeat The Undertaker and advance to the Quarter-Finals of the King of the Ring tournament. Jarrett, however, was defeated by The Undertaker later in the night, with The Undertaker winning following a Tombstone Piledriver. Unlike Jarrett, The Roadie managed to advance to the Quarter-Finals, defeating Doink the Clown on the June 3, 1995 edition of Superstars of Wrestling because of a distraction from Jarrett at ringside. Owen Hart faced Davey Boy Smith on the June 5, 1995 edition of RAW (taped May 14, 1995 at In Your House 1) in the final First-Round match. The match, however, went to a fifteen-minute time-limit draw. Because of this, neither man proceeded to the next round, and a match between Yokozuna and Lex Luger took place on the June 12, 1995 edition of RAW. Yokozuna won the match via countout after performing a legdrop on the arena floor. Even though all of the places for the Quarter-Finals were now filled, Razor Ramon suffered a legitimate rib injury suffered at a House show on June 9, 1995 in a Ladder match against Jeff Jarrett meaning he could no longer compete in the tournament. As a result, the final Quarter-Final place was decided moments before the pay-per-view aired.
As well as the annual King of the Ring tournament heading into the event, there were two other major feuds heading into the PPV. The main feud was between WWF Champion Diesel, Bam Bam Bigelow, Tatanka and Sycho Sid. The feud began after WrestleMania XI, and carried on into In Your House 1, where Diesel faced Sid for the WWF Championship. Diesel was set to retain the title after performing a Powerbomb on Sid, but Tatanka interfered and kayfabe attacked Diesel. This resulted in Diesel retaining the championship via disqualification.. The following night, on the May 15, 1995 edition of RAW, Ted DiBiase (Sid's and the Million Dollar Corporation's manager) proposed that Diesel, along with Bigelow should face DiBiase's team of Sid and Tatanka. In the main event, Bigelow was set to face Irwin R. Schyster - accompanied by DiBiase - when Bigelow announced that Diesel would be ringside in his corner for the matchup. Diesel chased DiBiase in the early stages of the matchup, which Bigelow won via pinfall. DiBiase returned to the ring after the match with his enforcers Sid and Tatanka. On the May 22, 1995 edition of RAW, Shawn Michaels returned from his legitimate injury that Sid gave him on the April 3, 1995 edition of RAW. Michaels defeated King Kong Bundy, who had DiBiase in his corner throughout the contest. After the contest, Bigelow and Diesel came out to congratulate Michaels on the victory. During this feud, Diesel suffered a legitimate elbow injury, but was able to compete at King of the Ring. To explain the injury, footage was shown on the May 29, 1995 edition of RAW of Sid performing a Chokeslam and Powerbomb onto Diesel at In Your House 1. Because of Diesel's injury, this storyline never got any further buildup until the actual pay-per-view.
The other main feud heading into King of the Ring was between Jerry Lawler and Bret Hart. At the previous pay-per-view, In Your House 1: Premiere, Lawler defeated Hart.