Using density functional dynamical mean-field theory, we show how correlation effects lead to pseudogap and Kondo-quasiparticle features in the electronic structure of pure and doped KFe2Se2 superconductor. Therein, correlation- and doping-induced orbital differentiation are linked to the emergence of an incoherent-coherent crossover in the normal state of KFe2Se2 superconductor. This crossover explains the puzzling temperature- and doping-dependent evolution of resistivity and Hall coefficient, seen in experiments of alkali-metal intercalated iron-selenide superconductors. Our microscopic description emphasises the role of incoherent and coherent electronic excitations towards unconventional transport responses of strange, bad metals.