At the character selection screen, hold Select on controller two and press X, Circle, Square, Triangle, L1, L2, R1, or R2.
Each time you beat the game under one of the three difficulty settings, two additional levels become available, for a total of six new levels.
Beat the game with any character, then hold Select + Start to restart.
Beat the game with Nox and Eve.
If you were looking for Zero Divide 2 for PSX cheats, then you might also want cheats for: