Here is the full list of all 16 Rocket Knight achievements.
Completed all stages
Completed Arcade Mode on Normal
Completed Arcade Mode on Hard
Completed 1.2 having defeated all enemies
Defeat 5 enemies in a single Rocket Burst or Drill attack
Defeat 3 enemies with a single reflected projectile
Complete World 1
Complete World 2
Complete World 3
Complete World 4
Completed Gold Sparkster Mode
Completed all stages below par time
Completed Arcade Mode on Hard within 60 minutes
Completed 3.2 without taking damage
Completed 2.1 having collected all pickups
Completed Arcade Mode scoring 1,000,000 or more