From the main menu, you'll be able to access the My Characters selection screen.

In that menu, you'll see all the available Heroes. 

The ones that are available will have a Select button and the highest score you achieved with them.

The ones that are still locked will be grayed out and have a Lock icon next to them. 

Next to the Heroe's image, you'll see a short text explaining which steps to take in order to unlock them.