G.E. Mitton writes in ’The Fascination of Kensington’ (1902):

The derivation of this word has been much disputed. Many old writers, including Faulkner, have identified it with Kingsbridge—that is to say, the bridge over the Westbourne in the King’s high-road. The Westbourne formed the boundary of Chelsea, and flowed across the road opposite Albert Gate. The real King’s bridge, however, was not here, but further eastward over the Tyburn, and as far back as Henry I.’s reign it is referred to as Cnightebriga. Another derivation for Knightsbridge is therefore necessary. The old topographer Norden writes: "Kingsbridge, commonly called Stone bridge, near Hyde Park Corner, where I wish no true man to walk too late without good guard, as did Sir H. Knyvett, Kt., who valiantly defended himself, being assaulted, and slew the master-thief with his own hands."

This, of course, has reference to the more westerly bridge mentioned above, but it seems to have served as a suggestion to later topographers, who have founded upon it the tradition that two knights on their way to Fulham to be blessed by the Bishop of London quarrelled and fought at the Westbourne Bridge, and killed each other, and hence gave rise to the name. This story may be dismissed as entirely baseless; the real explanation is much less romantic. The word is probably connected with the Manor of Neyt, which was adjacent to Westminster, and as pronunciation rather than orthography was relied upon in early days, this seems much the most likely explanation. Lysons says: "Adjoining to Knightsbridge were two other ancient manors called Neyt and Hyde." We still have the Hyde in Hyde Park, and Neyt is thus identified with Knightsbridge.

Until the middle of the nineteenth century Knightsbridge was an outlying hamlet. People started from Hyde Park Corner in bands for mutual protection at regular intervals, and a bell was rung to warn pedestrians when the party was about to start. In 1778, when Lady Elliot, after the death of her husband, Sir Gilbert, came to Knightsbridge for fresh air, she found it as "quiet as Teviotdale." About forty years before this the Bristol mail was robbed by a man on foot near Knightsbridge. The place has also been the scene of many riots. In 1556, at the time of Wyatt’s insurrection, the rebel and his followers arrived at the hamlet at nightfall, and stayed there all night before advancing on London.