We study the origin of the cubic to tetragonal and tetragonal to monoclinic structural transitions in KCrF3, and the associated change in orbital order, paying particular attention to the relevance of super-exchange in both phases. We show that super-exchange is not the main mechanism driving these transitions. Specifically, it is not strong enough to be responsible for the high-temperature cubic to tetragonal transition and does not yield the type of orbital order observed in the monoclinic phase. The energy difference between the tetragonal and the monoclinic structure is tiny, and most likely results from the interplay between volume, covalency, and localization effects. The transition is rather driven by Slater exchange than super-exchange. Nevertheless, once the monoclinic distortions are present, super-exchange helps in stabilizing the low symmetry structure. The orbital order we obtain for this monoclinic phase is consistent with the magnetic transition at 80 K.