He was born in Londonderry on 17 March 1757 into a Methodist home where John Wesley and other preachers were entertained. Adam Averell was his cousin. His parents joined the Londonderry society in 1765 and Wesley corresponded with him frequently in his early years. He broke from Methodism at the age of 20, finding Methodist worship temperamentally uncongenial, and became an Anglican, though retaining a high regard for Wesley himself, whose teaching on holiness influenced him deeply. He maintained his associations with Methodism and became a friend of A. Clarke. He also corresponded with Hannah More and visited her at Barleywood.
Despite poor health, including epilepsy, in early life, in 1798 he became private secretary to Lord Castlereagh, at the height of the rebellion of the United Irishmen. In that capacity he was able to help Dr. Coke gain permission for the Irish Conference to meet and a measure of protection for the Methodist preachers during the period of martial law . But soon tiring of politics, he sought the advice of a Methodist preacher and spent the rest of his life in seclusion and a quest for holiness.
Along with his friend John Jebb, the future high-church bishop of Limerick, he anticipated some of the principles of the Oxford Movement, though combined with his evangelicalism. He was an advocate of Catholic emancipation. The verdict of G.T. Stokes in 1887, that 'Wesley begat Knox, and Knox begat Jebb, and Jebb begat [H.J.] Rose and Pusey and Newman', has been subjected to close scrutiny and modification. Towards the end of his life he wrote some useful 'Remarks' on Wesley's life and character in response to Southey's biography of 1820 and these, with Southey's approval, were printed in subsequent editions. His Remains were published in 4 volumes in 1834-37. He died in Dublin on 17 June 1831.