We study the antiferromagnetic and the paramagnetic Kondo insulator phases of the Kondo lattice model on the cubic lattice at half-filling using the cellular dynamical mean-field theory (CDMFT) with numerical renormalization group (NRG) as the impurity solver, focusing on the fine details of the spectral function and self-energy. We find that the non-local correlations increase the gap in both the antiferromagnetic and the Kondo insulator phase and shrink the extent of the antiferromagnetic phase in the phase diagram but do not alter any properties qualitatively. The agreement between the numerical CDMFT results and those within a simple hybridization picture, which adequately describes the overall band structure of the system but neglects all effects on the inelastic-scattering processes, is similar to that of the single-site DMFT results; there are deviations that are responsible for the additional fine structure, in particular for the asymmetric spectral resonances or dips that become more pronounced in the strong-coupling regime close to the antiferromagnet-paramagnetic quantum phase transition. These features appear broader in the CDMFT mostly due to numerical artifacts linked to more aggressive state truncation required in the NRG.