A study of the quasi-two-dimensional antiferromagnet KFeF₄ below the transition temperature, T_N=13 K, has been undertaken using neutron scattering techniques. The dispersion relation of the spin excitations is well described by a model Hamiltonian incorporating Heisenberg exchange interactions and uniaxial anisotropy. The anisotropy controls the energy of the zone centre mode whose frequency varies in the same way with temperature as the square of the staggered magnetization which is described by the two-dimensional Ising model. Dipole-dipole contributions are too small to account fully for the anisotropy. Different nearest-neighbour exchange energies are found along the a and b directions due to different superexchange paths, with J₁=-2.18 meV along a, and J₂=-2.73 meV along b.