Knightsbridge was recorded as Cnihtebricge in 1046 and can be interpreted as meaning the bridge of the young men'. It appears that these men were responsible for the upkeep or the defence of the bridge over the Westbourne stream where it crossed the Great West Road. The street has had many variant spellings and was known as Knyghtesbrugg 1364. One story has it that this was the place where knights had their jousting tournaments in days gone by, but this should be taken with that often used 'pinch of salt'. The stream still flows under Albert Gate, Knightsbridge, but is now buried deep in a sewer pipe.

On early plans the station's name was shown as SLOANE STREET, but it opened as NIGHTSRIDGE on 15 December 1906.