I didn't play the first game (which this game recommends doing when you first start it up),
but you get the option to recap what went before. While that gave me a sense of Kathy’s
earlier exploits, having completed the game, while I didn’t feel all at sea by any means,
I certainly think that playing the first game will enable you to get the most out of the tale.

I won’t say more to avoid any spoiling.

As the Steam page says "When this story begins, things are looking dire for private eye Kathy Rain.
It’s the year 1998, and she is utterly broke: The Katmobile (her motorbike) is running on fumes, the
fridge is nearly empty, and an eviction is looming close. However, opportunity arrives when a big cash
reward is announced for solving the 'Soothsayer' case — a string of serial murders with a death grip
on the metropolitan city of Kassidy."

And so Kathy gets to investigating.

Find out more in flotsam's review of

******** Kathy Rain 2: Soothsayer ********