Star Wars has finally confirmed the full history of the Knights of Ren, after the theatrical release of Star Wars: The Rise of Skywalker. Kylo Ren was introduced as "master of the Knights of Ren" in Star Wars: The Force Awakens, and the Knights themselves were seen in a sinister Forceback vision. Naturally, viewers were eager to learn the truth about these mysterious beings.
The Knights of Ren were mysteriously absent in Star Wars: The Last Jedi, but J.J. Abrams brought them back for the end of the sequel trilogy in The Rise of Skywalker. While they were eventually defeated by their redeemed former master, the film remained entirely silent about the origin of the Knights of Ren, leaving that for tie-ins and the novelization. Little by little, though, Star Wars has filled in the gaps.
Chuck Wendig's Aftermath trilogy is set shortly after the events of Return of the Jedi, and it chronicles the fall of the Empire. Wendig uses a number of interludes to explore events across the galaxy, and he reveals Sith cultists had established dark side cults such as the Acolytes of the Beyond. It's reasonable to assume this was in accordance with Palpatine's plan, and the cultists were tied somehow to the Sith Eternal. The Knights of Ren appear to be another of these cults, centered around a man named Ren. According to Charles Soule's Rise of Kylo Ren miniseries, he traveled the galaxy choosing followers with weak Force potential. Ren taught his disciples to use the dark side, which he called "the Shadow," and he based his philosophy on Sith teachings. Anyone who wished to become a Knight of Ren had to conduct an initiation ritual, killing someone they loved.
Palpatine appears to have planted these different cults across the galaxy as tools to help him corrupt Ben Solo. He took a gamble, bringing the Knights of Ren into contact with Luke Skywalker and Ben Solo, his young apprentice; the Knights of Ren were easily overwhelmed by Luke, but the Emperor's real goal was to ensure they left a lasting impression on Ben. Years later, after Ben believed he had killed Luke Skywalker, he was manipulated into going to the Knights of Ren. Much to Palpatine's delight, Ben Solo killed Ren in a lightsaber duel, following a run-in with two of his former Jedi classmates. Ben chose to continue dawn the path of the dark side, and took his place as their leader, truly becoming Kylo Ren.
Rae Carson's novelization of Star Wars: The Rise of Skywalker further reveals the Knights of Ren were secretly loyal to Palpatine all along. That presumably explains how they arrived on Exegol; the Emperor had presumably revealed the way to the Sith redoubt years ago. Ben Solo only learned the truth when he faced them on Exegol - and the power of the Force Dyad proved more than sufficient to dispatch them.