The Prussian Blue analogue K2−δMn[Fe(CN)6]1−ɣ∙nH2O is regarded as a key candidate for potassium-ion battery positive electrode materials due to its high specific capacity and redox potential, easy scalability, and low cost. However, various intrinsic defects, such as water in the crystal lattice, can drastically affect electrochemical performance. In this work, we varied the water content in K2−δMn[Fe(CN)6]1−ɣ∙nH2O by using a vacuum/air drying procedure and investigated its effect on the crystal structure, chemical composition and electrochemical properties. The crystal structure of K2−δMn[Fe(CN)6]1−ɣ∙nH2O was, for the first time, Rietveld-refined, based on neutron powder diffraction data at 10 and 300 K, suggesting a new structural model with the Pc space group in accordance with Mössbauer spectroscopy. The chemical composition was characterized by thermogravimetric analysis combined with mass spectroscopy, scanning transmission electron microscopy microanalysis and infrared spectroscopy. Nanosized cathode materials delivered electrochemical specific capacities of 130–134 mAh g−1 at 30 mA g−1 (C/5) in the 2.5–4.5 V (vs. K+/K) potential range. Diffusion coefficients determined by potentiostatic intermittent titration in a three-electrode cell reached 10−13 cm2 s−1 after full potassium extraction. It was shown that drying triggers no significant changes in crystal structure, iron oxidation state or electrochemical performance, though the water level clearly decreased from the pristine to air- and vacuum-dried samples.