Each character has different "damage taken" multipliers.
Everyone has the same amount of health: 10,000. However, all players have hidden multipliers that make them tankier when taking damage. For example, Nezuko, Tanjiro, and Giyu have a 1.00x multiplier, meaning their health is neutral. Others like Zinetsu and Rengoku take 1.15x extra damage. Search online to find out what multiplier is attached to your favorite character.