Mr. Knight is one of the many personalities manifested through Marc Spector's dissociative identity disorder. In the ongoing MCU and Disney Plus series, Moon Knight, Mr. Knight is the version of Moon Knight that derives from Steven Grant, the meek egyptologist alternative persona to Marc Spector. This results in Mr. Knight being a less adept fighter than Moon Knight, but his expertise has still proven invaluable in Khonshu's war against Arthur Harrow and Ammit.
That said, Mr. Knight is represented very differently in the Marvel Comics themselves. His backstory, such as it is, strays quite far from that of the MCU Mr. Knight.
5 He Is More Function Than He Is Form
Despite his representation in Disney Plus' Moon Knight, Mr. Knight isn't actually a different personality from Moon Knight (as far as we currently know at least). He seems to be designed as a more approachable and "casual" alternative to Moon Knight himself. Moon Knight seems to put on the Mr. Knight suit when he needs to talk to people instead of punching them.
That said, this is largely speculation. Much of Moon Knight's MO has to be extrapolated from his action, as Marc Spector isn't one to explain much through thought caption or dialogue in a comic book. Even when Marc does try to explain something, it's worth remembering that he isn't the most reliable narrator in the world. All of this said, it is still possible that Mr. Knight is a different persona than Moon Knight himself, but this hasn't been confirmed as of yet.
4 He Is Just As Dangerous As Moon Knight
When Marc Spector puts on a mask and is expecting a fight, he chooses the Moon Knight costume. However, this doesn't mean that Mr. Knight isn't capable of fighting. Marc has brawled as Mr. Knight on occasion, and he has won those fights too.
Disney Plus' Moon Knight ties Mr. Knight specifically to Steven Grant. This isn't the case in comic books. The Marc Spector system of personalities functions more as a collective now than as individual actors. Marc is the core personality and the "real" one for lack of a better term. He lets Steven Grant and Jake Lockley out as needed, with Grant being the more approachable and charismatic character and Jake Lockley as the vicious and bloodthirsty animal. With that in mind, it would make sense if Marc puts Steven in control as Mr. Knight, but this hasn't been confirmed.
3 His Existence Says A Lot About Marc Spector As A System
The existence of Mr. Knight does speak volumes about the Marc Spector system. While, in the past, Marc Spector, Jake Lockley, or Steven Grant would be the ones to talk with people and gather information about whatever case Moon Knight is looking into, that is no longer true. Mr. Knight shows that Marc Spector, in all of his forms, would rather interact with people in a mask than without.
This is shown further in the current Moon Knight comic series by Jed MacKay and Alessandro Cappuccio. Marc Spector has been seeing a psychologist, but he has chosen to do so as Mr. Knight instead of Marc himself. He has so guarded his various "normal" personas that, at this point, he can't even be honest about himself without still putting it through the filter of Mr. Knight.
2 It's Unclear Why Exactly Marc Created Mr. Knight In The First Place
While Mr. Knight is likely a sign of Marc Spector's further degrading mental health, it's still not entirely clear why Marc Spector created the Mr. Knight persona. He serves the function of interacting with people in a nonviolent fashion, but that pragmatic explanation to a psychological question. It could be true, but that's also a very simple explanation of what would be a complex psychological mystery.
Marc Spector may be truly disappearing into the Moon Knight persona in all of its variations. It's hard to not see the similarities between modern Marc Spector with Moon Knight and Walter Kovacs with Rorschach in Alan Moore and Dave Gibbons's Watchmen. By the time of the events of Watchmen, Kovacs had fully disappeared into the Rorschach persona, and it seems that Marc Spector is well on his way to doing the same with Moon Knight.
1 He Was Created By Warren Ellis And Declan Shalvey In 2014
As previously intimated, the Mr. Knight identity is a fairly new creation. Mr. Knight first appeared in Moon Knight #1 (2014) and was created by writer Warren Ellis and artist Declan Shalvey. This was a new Moon Knight title that was introduced as the Marvel NOW! promotional line of comic books. This was also one of the most celebrated Moon Knight comic runs in years and remained popular even as it repeatedly changed creative hands.
The series was rebooted with Marvel NOW! 2.0 under creators Jeff Lemire and Greg Smallwood, and this was a much-beloved take on the character too. This series ended as well, and Max Bemis and Jacen Burrows brought the book back to take Moon Knight to #200 as part of Marvel's Legacy initiative. The current Moon Knight comic spun off of Jason Aaron and Juan Cabal's "Age of Khonshu" story in Avengers, wherein Moon Knight betrayed the Avengers to install Khonshu as the ruler of Earth. The Avengers rebelled and brought Moon Knight and Khonshu down, and Moon Knight received a fresh start with the current series by Jed MacKay and Alessandro Cappuccio.