After spells as an assistant manager at Leeds City and Manchester City, Knighton was appointed manager of Arsenal in 1919, shortly after the club had been promoted to the First Division. He oversaw the club for six years, but Arsenal never finished higher than 10th, and came 20th in 1924-25. Knighton was sacked at the end of that season, and was replaced by Herbert Chapman, who would go on to become a club legend.

While at Arsenal, Knighton was involved in one of the first recorded cases of doping; before a January 1925 FA Cup tie against West Ham United, Knighton gave the players what he described as "little silver pills", given to him by a Harley Street doctor who was a fan of the club; although the pills were successful in increasing the players' energy, after three matches they rebelled and refused to take them for fear of ill effects. Knighton's activities, entirely legal under the rules at the time, were not made public until he recounted the episode in his memoirs.

After leaving the Gunners, Knighton went on to manage Bournemouth (1925-28), Birmingham City (1928-33) and Chelsea (1933-39).