He oversaw the club for six years, but Arsenal never finished higher than mid-table, their best finish during his tenure being ninth in 1920-21. Neither did Arsenal do well in the FA Cup under Knighton - in only one season, 1921-22, did Arsenal get beyond the second round of the competition, eventually losing to Preston North End in a quarter-final replay.
During his time at Arsenal, Knighton had numerous fallings-out with Arsenal chairman Sir Henry Norris; Norris put a strict cap of £1,000 on transfer fees and refused to sign any player under 5'8" tall or eleven stone. When Knighton signed the 5' tall Hugh "Midget" Moffatt from Workington in 1923, Norris was furious when he found out; he overruled his manager and promptly sold the player to Luton Town before he'd played a League game. To get round Norris's rules, Knighton used his guile to sign some unusual transfers, such as the amateurs Reg Boreham and Jimmy Paterson - the latter was the Arsenal club doctor's brother-in-law, and went on to play nearly 80 games for Arsenal.
Despite Norris's interfering, Knighton, thanks to an informal scouting system of his friends and former colleagues in the North, signed several high-quality players for Arsenal; these included Bob John, Jimmy Brain and Alf Baker, all of whom would be part of Arsenal's trophy-winning side of the early 1930s. However, he could never knit together a solid winning side and Arsenal's performances gradually declined towards the end of his tenure; they finished 19th in 1923-24 and 20th in 1924-25.
During his final season at Arsenal, Knighton was involved in one of the first recorded cases of doping; before a January 1925 FA Cup first round tie against West Ham United, Knighton gave the players what he described as "little silver pills", given to him by a Harley Streetdoctor who was a fan of the club; although the pills were successful in increasing the players' energy, the side-effects caused them to have raging thirst. Arsenal drew the match 0-0 and before the replay they rebelled and refused to take them; Arsenal eventually lost 1-0 in the second replay after the first finished 2-2. Knighton's activities, entirely legal under the rules at the time, were not made public until he recounted the episode in his memoirs.
Norris dismissed Knighton in the summer of 1925 and replaced him with Herbert Chapman. Knighton later alleged that Norris has only sacked him to avoid paying him a bonus (estimated at up to £4,000) from a benefit match that he was due. Norris denied this and instead cited Arsenal's poor record that season (having finished 20th and knocked out of the FA Cup first round), but later regretted his dismissal, stating it was the one mistake in his career and in his will left Knighton £100.