Board Thread:M.U.G.E.N Help/@comment-27914891-20151204223449/@comment-3495717-20151205222710

As evident by the palettes module on the right side of the screen, it's taking the colours from Kung Fu Man's palette. Providing you're using the usual method of .act file palettes as opposed to palettes integrated into the sprite file, you'll need to create a palette using the colours of your character's sprites and then insert that palette via your character's .def file.