The Knights of Hell are demons who were handpicked by Lucifer from among the first fallen humans to be made into demons, the first of which was Cain, who in turn trained the Knights and built the entire order with his own hands.
The Knights of Hell operated for centuries, bringing darkness and chaos everywhere they went. The Knights were rumored to have all been killed by the archangels, though one survived - Abaddon. Its eventually revealed that Cain was the one who wiped them out, killing them in revenge for the kidnapping and death of his wife, but left Abaddon alone as his wife made him promise to stop his ways. Abaddon was then sent by parties unknown to kill the Men of Letters in 1958, after she travels through time in pursuit of Henry Winchester and the box to 2013, she is trapped inside her meatsuit and buried.
Abaddon escapes after Sam and Dean exhume her body, and try to use her for the third trial to close the Gates of Hell. She later tries to kill Crowley so she can take over Hell, but Sam douses her in holy oil burning her meatsuit, and forcing her to vacate the body. She later has the body of Josie Sands restored and starts a crusade to take over Hell and Earth. Using The First Blade along with powers granted by the Mark of Cain, Dean kills Abaddon, leaving Cain as the only Knight remaining.
Knights of Hell are able to survive being stabbed with ancient demon-killing knives of the Kurds, they also appear have the powers of normal demons, as well as abilities and powers far beyond that of any other demons seen so far.