The station was opened on 15 December 1906 by the Great Northern, Piccadilly and Brompton Railway (GNP&BR, now the Piccadilly Line). When opened, the platforms were accessed in the standard manner by four lifts and an emergency staircase connecting to parallel passageways and bridges to midway along the platforms. The original station building designed by Leslie Green was located on Brompton Road a short distance west of its junction with Knightsbridge and Sloane Street. A rear entrance was located on Basil Street.
The location of the station in a busy and fashionable shopping district meant that patronage at the station was high from the beginning, particularly due to the presence locally of the Harrods and Harvey Nichols emporiums. This contrasted with the next station on the line westward - Brompton Road, where passenger numbers were so low that from soon after its opening many trains were timetabled not to stop there.
In the early 1930s, the availability of government grants to stimulate the depressed economy enabled the Underground Group to carry out a major modernisation programme, during which many central London stations were brought up to date with escalators to replace the original lifts. Knightsbridge was one of the Piccadilly Line stations to benefit from the installation of escalators.
To enable the escalators to reach the existing platforms without excessive below ground reconstruction or interference with station operations a new ticket hall was constructed under the Brompton Road/Knightsbridge/Sloane Street junction and new circulation passages were constructed at the lower level. A new station entrance was inserted into the existing building on the corner of Brompton Road and Sloane Street and the original entrances were closed (the building has subsequently been demolished). Subway entrances on the other corners of the junction enabled pedestrians to avoid the traffic on the busy junction.
To ease congestion, it was also decided to provide an additional entrance to the western end of the platforms closer to Harrods. The additional exit would further diminish the passenger numbers at Brompton Road so this station was scheduled to close. A separate ticket hall was provided for the western escalators which is accessed by a long subway from the surface entrance at the corner of Hans Crescent. This narrow subway was to be a regular problem, often becoming congested with groups of passengers trying to pass each other in the confined space.
Eventually, in 2004, this congestion was solved by the expansion of this exit into a large circular area, under the road towards Harrods, with the way out of the station being by a stairway in the midst of the road.
The station recently underwent the first major refurbishment of the platforms since the reconstruction with the 1930s cream-coloured tiles being concealed behind a modern metal cladding system.
The residential development of One Hyde Park opposite the station will feature an entrance to the station and the closed off exit will be re-opened during late 2010.
The station appeared in a 1992 episode of Rumpole of the Bailey (Rumpole and the Children of the Devil), as Horace Rumpole and his wife Hilda travel there separately from Temple and Gloucester Road stations respectively.
The opening scene of the 1997 film version of Henry James's The Wings of the Dove was set on the east-bound platforms at both Dover Street and Knightsbridge stations, both represented by the same studio mock-up, complete with a working recreation of a 1906 Stock train.